Parametric Inference for Discretely Sampled Stochastic Differential Equations

Michael Sørensen ()
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Michael Sørensen: University of Copenhagen, Department of Mathematical Sciences

Chapter 23 in Handbook of Financial Time Series, 2009, pp 531-553 from Springer

Abstract: Abstract A review is given of parametric estimation methods for discretely sampled multivariate diffusion processes. The main focus is on estimating functions and asymptotic results. Maximum likelihood estimation is briefly considered, but the emphasis is on computationally less demanding martingale estimating functions. Particular attention is given to explicit estimating functions. Results on both fixed frequency and high frequency asymptotics are given. When choosing among the many estimators available, guidance is provided by simple criteria for high frequency efficiency and rate optimality that are presented in the framework of approximate martingale estimating functions.

Keywords: Estimate Function; Transition Density; Markov Chain Monte Carlo Method; Target Zone; Invariant Probability Measure (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_23

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DOI: 10.1007/978-3-540-71297-8_23

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