Annals of Statistics

Closed-form likelihood expansions for multivariate diffusions

Yacine Aït-Sahalia

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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