On the statistical estimation of diffusion processes - a partial survey

Rubens Cysne

No 570, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: Data available on continuous-time diffusions are always sampled discretely in time. In most cases, the likelihood function of the observations is not directly computable. This survey covers a sample of the statistical methods that have been developed to solve this problem. We concentrate on some recent contributions to the literature based on three di§erent approaches to the problem: an improvement of the Euler-Maruyama discretization scheme, the employment of Martingale Estimating Functions, and the application of Generalized Method of Moments (GMM).

Date: 2004-10-16
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (6)

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Journal Article: On the Statistical Estimation of Diffusion Processes: A Partial Survey (2004)
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