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Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
Coupling uniform convergence exact simulation linear diffusionprocesses random function SLLN on Banach space
2010/3/18
This paper introduces a Monte Carlo method for maximum likelihood
inference in the context of discretely observed diffusion processes.
The method gives unbiased and a.s. continuous estimators of
th...
Divergences Test Statistics for Discretely Observed Diffusion Processes
diffusion processes empirical level hypotheses testing divergences -divergences
2010/4/30
In this paper we propose the use of -divergences as test statistics to verify
simple hypotheses about a one-dimensional parametric diffusion process
dXt = b(Xt, )dt + (Xt, )dWt, from discrete ob...