Bias in estimating multivariate and univariate diffusions

DOI10.1016/j.jeconom.2010.12.006zbMath1441.62900OpenAlexW2099794747MaRDI QIDQ530603

Xiaohu Wang, Jun Yu, Peter C. B. Phillips

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1235

zbMATH Keywords

diffusionbiasEuler approximationtrapezoidal approximationMilstein approximation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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