Annals of Statistics
- Ann. Statist.
- Volume 36, Number 2 (2008), 906-937.
Closed-form likelihood expansions for multivariate diffusions
Full-text: Open access
Abstract
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by exploiting the special structure afforded by the diffusion model. Examples of interest in financial statistics and Monte Carlo evidence are included, along with the convergence of the expansion to the true likelihood function.
Article information
Source
Ann. Statist., Volume 36, Number 2 (2008), 906-937.
Dates
First available in Project Euclid: 13 March 2008
Permanent link to this document
https://projecteuclid.org/euclid.aos/1205420523
Digital Object Identifier
doi:10.1214/009053607000000622
Mathematical Reviews number (MathSciNet)
MR2396819
Zentralblatt MATH identifier
1246.62180
Subjects
Primary: 62F12: Asymptotic properties of estimators 62M05: Markov processes: estimation
Secondary: 60H10: Stochastic ordinary differential equations [See also 34F05] 60J60: Diffusion processes [See also 58J65]
Keywords
Diffusions likelihood expansions discrete observations
Citation
Aït-Sahalia, Yacine. Closed-form likelihood expansions for multivariate diffusions. Ann. Statist. 36 (2008), no. 2, 906--937. doi:10.1214/009053607000000622. https://projecteuclid.org/euclid.aos/1205420523
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