Maximum likelihood estimation of partially observed diffusion models
This paper develops a maximum likelihood (ML) method to estimate partially observed diffusion models based on data sampled at discrete times. The method combines two techniques recently proposed in the literature in two separate steps. In the first step, the closed form approach of Aït-Sahalia (2008...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1797 https://ink.library.smu.edu.sg/context/soe_research/article/2796/viewcontent/P_ID_52648_Yu_JOE_2014_MaxLikelihoodEstPartiallyObservedDiffusionModels.pdf |
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| Institution: | Singapore Management University |
| Language: | English |