On the Statistical Estimation of Diffusion Processes: A Partial Survey

Rubens Cysne

Brazilian Review of Econometrics, 2004, vol. 24, issue 2

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 different 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
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Working Paper: On the statistical estimation of diffusion processes - a partial survey (2004)
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