Discretely Observed Diffusions: Approximation of the Continuous‐time Score Function

DOI10.1111/1467-9469.00227zbMath0972.60082OpenAlexW2097247409MaRDI QIDQ2722306

Helle Sørensen

Publication date: 11 July 2001

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00227

zbMATH Keywords

diffusion processdiscrete observationsestimating functioncontinuous-time score function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Diffusion processes (60J60)

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Estimation for discretely observed diffusions using transform functions ⋮ Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview ⋮ ANOVA for diffusions and Itō processes ⋮ Estimating Functions in Indirect Inference

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