Open Access
April 2008 Closed-form likelihood expansions for multivariate diffusions
Yacine Aït-Sahalia
Ann. Statist. 36(2): 906-937 (April 2008). DOI: 10.1214/009053607000000622


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.


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Yacine Aït-Sahalia. "Closed-form likelihood expansions for multivariate diffusions." Ann. Statist. 36 (2) 906 - 937, April 2008.


Published: April 2008
First available in Project Euclid: 13 March 2008

zbMATH: 1246.62180
MathSciNet: MR2396819
Digital Object Identifier: 10.1214/009053607000000622

Primary: 62F12 , 62M05
Secondary: 60H10 , 60J60

Keywords: Diffusions , Discrete observations , expansions , likelihood

Rights: Copyright © 2008 Institute of Mathematical Statistics

Vol.36 • No. 2 • April 2008
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