Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey

Helle Sørensen
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Helle Sørensen: Institute of Economics, University of Copenhagen

No 02-08, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: This paper is a survey of existing estimation techniques for stationary and ergodic diffusion processes observed at discrete points in time. The reader is introduced to the following techniques: (i) estimating functions with special emphasis on martingale estimating functions and so-called simple estimating functions; (ii) analytical and numerical approximations of the likelihood which can in principle be made arbitrarily accurate; (iii) Bayesian analysis and MCMC methods; and (iv) indirect inference and EMM which both introduce auxiliary (but wrong) models and correct for the implied bias by simulation.

Keywords: Bayesian analysis; diffusion processes; discrete-time observations; efficient method of moments (EMM); estimating functions; indirect inference; likelihood approximations (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2002-08
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:0208

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