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On the statistical estimation of diffusion processes: a survey

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  • Cysne, Rubens Penha

Abstract

Data available on continuos-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 di§erent approaches to the problem: an improvement of the Euler-Maruyama discretization scheme, the use 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 survey," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 540, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    • Handle: RePEc:fgv:epgewp:540
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    References listed on IDEAS

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