Since 2014
On the Statistical Estimation of Diffusion Processes: A Partial Survey
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
On the Statistical Estimation of Diffusion Processes: A Partial Survey
On the Statistical Estimation of Diffusion Processes: A Partial Survey |
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| Creator |
Cysne, Rubens Penha; Professor at the Graduate School of Economics (EPGE/FGV) of the Getulio Vargas Foundation and, in 2004, a Visiting Scholar at the Department of Economics of the University of Chicago.
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| Subject |
Diffusion; Continuous-time; Estimation.
C13; C22; C32; GO Diffusion; Continuous-time; Estimation. C13; C22; C32; GO |
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| Description |
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).
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). |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
2004-11-02
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2713
10.12660/bre.v24n22004.2713 |
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| Source |
Brazilian Review of Econometrics; Vol 24, No 2 (2004); 273–301
Brazilian Review of Econometrics; Vol 24, No 2 (2004); 273–301 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2713/1659
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