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Maximum likelihood estimation of discretely sampled diffusions: A closed-form approximation approach

Author
AÏT-SAHALIA, Yacine1 2
[1] Department of Economics, Princeton University, Princeton, NJ 08544-1021, United States
[2] NBER, United States
Source

Econometrica. 2002, Vol 70, Num 1, pp 223-262, 40 p ; ref : 1 p.3/4

CODEN
ECMTA7
ISSN
0012-9682
Scientific domain
Control theory, operational research; Mathematics
Publisher
Blackwell, Malden, MA
Publication country
United States
Document type
Article
Language
English
Keyword (fr)
Calculabilité Diffusion Détection Bayes Echantillonnage Equation dérivée partielle Estimation statistique Finance Fonction vraisemblance Fonctionnelle Inférence Maximum vraisemblance Modèle Mouvement brownien Méthode Monte Carlo Méthode approchée Méthode approximation Polynôme Hermite Processus diffusion Précision Suite mathématique Système équation Temps continu Théorie approximation 62P05 Densité transition
Keyword (en)
Computability Diffusion Bayes detection Sampling Partial differential equation Statistical estimation Finance Likelihood function Functional Inference Maximum likelihood Models Brownian motion Monte Carlo method Approximate method Approximation method Hermite polynomial Diffusion process Accuracy Sequence(mathematics) Equation system Continuous time Approximation theory Transition density
Keyword (es)
Calculabilidad Difusión Detección Bayes Muestreo Ecuación derivada parcial Estimación estadística Finanza Función verosimilitud Funciónal Inferencia Maxima verosimilitud Modelo Movimiento browniano Método Monte Carlo Método aproximado Polinomio Hermite Proceso difusión Precisión Sucesión matemática Sistema ecuación Tiempo continuo
Classification
Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E08 Partial differential equations

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E18 Calculus of variations and optimal control

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02B Mathematical foundations

Discipline
Mathematics
Origin
Inist-CNRS
Database
PASCAL
INIST identifier
13561343

Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS

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