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On the Statistical Estimation of Diffusion Processes: A Partial Survey

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  • Cysne, Rubens Penha

Abstract

Data available on continuous-time diffusions are always sampled discretely in time. In most cases, the likelihood function of the observations is not directly computable. This survey covers a sample of the statistical methods that have been developed to solve this problem. We concentrate on some recent contributions to the literature based on three different approaches to the problem: an improvement of the Euler-Maruyama discretization scheme, the employment of Martingale Estimating Functions, and the application of Generalized Method of Moments (GMM).

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  • Cysne, Rubens Penha, 2004. "On the Statistical Estimation of Diffusion Processes: A Partial Survey," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
    • Handle: RePEc:sbe:breart:v:24:y:2004:i:2:a:2713
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