Information theory for maximum likelihood estimation of diffusion models

DOI10.1016/j.jeconom.2015.10.002zbMath1390.62166OpenAlexW2175264198MaRDI QIDQ898589

Hwan-sik Choi

Publication date: 18 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.10.002

zbMATH Keywords

fiber bundleinfinitesimal generatorinfill asymptoticsmisspecificationhigh frequencyKullback-Leibler information criterion

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Information theory (general) (94A15) Statistical aspects of information-theoretic topics (62B10)

Cites Work

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