Abstract
This paper is a survey of estimation techniques for stationary and ergodic diffusion processes observed at discrete points in time. The reader is introduced to the following techniques: (i) estimating functions with special emphasis on martingale estimating functions and so-called simple estimating functions; (ii) analytical and numerical approximations of the likelihood function which can in principle be made arbitrarily accurate; (iii) Bayesian analysis and MCMC methods; and (iv) indirect inference and EMM which both introduce auxiliary (but wrong) models and correct for the implied bias by simulation.
Citation
Helle Sørensen. "Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey." Internat. Statist. Rev. 72 (3) 337 - 354, dec 2004.
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