Discretely Observed Diffusions: Approximation of the Continuous‐time Score Function

Helle Sørensen

Scandinavian Journal of Statistics, 2001, vol. 28, issue 1, 113-121

Abstract: We discuss parameter estimation for discretely observed, ergodic diffusion processes where the diffusion coefficient does not depend on the parameter. We propose using an approximation of the continuous‐time score function as an estimating function. The estimating function can be expressed in simple terms through the drift and the diffusion coefficient and is thus easy to calculate. Simulation studies show that the method performs well.

Date: 2001
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