IDEAS home Printed from https://ideas.repec.org/a/bla/scjsta/v28y2001i1p113-121.html
   My bibliography  Save this article

Discretely Observed Diffusions: Approximation of the Continuous‐time Score Function

Author

Listed:
  • Helle Sørensen

Abstract

We discuss parameter estimation for discretely observed, ergodic diffusion processes where the diffusion coefficient does not depend on the parameter. We propose using an approximation of the continuous‐time score function as an estimating function. The estimating function can be expressed in simple terms through the drift and the diffusion coefficient and is thus easy to calculate. Simulation studies show that the method performs well.

Suggested Citation

  • Helle Sørensen, 2001. "Discretely Observed Diffusions: Approximation of the Continuous‐time Score Function," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(1), pages 113-121, March.
    • Handle: RePEc:bla:scjsta:v:28:y:2001:i:1:p:113-121
    DOI: 10.1111/1467-9469.00227
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9469.00227
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9469.00227?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tuncer, Ruhi, 2012. "Estimating Stochastic Differential Equations Using Repeated Eigenfunction Estimation and Neural Networks," GIAM Working Papers 12-5, Galatasaray University Economic Research Center.
    2. Friedrich Hubalek & Petra Posedel, 2008. "Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models," Papers 0807.3479, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:scjsta:v:28:y:2001:i:1:p:113-121. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.