Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey
Sørensen, Helle
Internat. Statist. Rev., Tome 72 (2004) no. 1, p. 337-354 / Harvested from Project Euclid
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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.
Publié le : 2004-12-14
Classification:  Bayesian analysis,  Diffusion processes,  Discrete-time observations,  Efficient method of moments (EMM),  Estimating functions,  Indirect inference,  Likelihood approximations 
@article{1102516476,
     author = {S\o rensen, Helle},
     title = {Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey},
     journal = {Internat. Statist. Rev.},
     volume = {72},
     number = {1},
     year = {2004},
     pages = { 337-354},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1102516476}
}

Sørensen, Helle. Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey. Internat. Statist. Rev., Tome 72 (2004) no. 1, pp.  337-354. http://gdmltest.u-ga.fr/item/1102516476/