Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
Author:
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/1467-9469.00299/fullpdf
Reference14 articles.
1. 1Y. Ait Sahalia (1997 ). Maximum likelihood estimation of discretely sampled diffusions: a closed form approach . To appear inEconometrica.
2. Martingale Estimation Functions for Discretely Observed Diffusion Processes
3. Approximate discrete-time schemes for statistics of diffusion processes
4. 4A. Friedman (1975 ).Stochastic differential equations, Vol I. Academic Press, New York.
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