Maximum likelihood estimation of time-inhomogeneous diffusions

Journal of Econometrics

Volumn 114, Issue 1, 2003, Pages 107-139

  Egorov, Alexei V ^a   Li, Haitao ^b   Xu, Yuewu ^c  

^a Department of Obstetrics Gynecology   (United States)

^b The Samuel Curtis Johnson Graduate School of Management   (United States)

^c YALE SCHOOL OF MANAGEMENT   (United States)

Author keywords

Hermite expansion; Maximum likelihood estimation; Time inhomogeneous diffusion; Transition density

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; ECONOMICS; FINANCE; FUNCTION EVALUATION; MATHEMATICAL MODELS; METHOD OF MOMENTS; MONTE CARLO METHODS; PARAMETER ESTIMATION; STOCHASTIC PROGRAMMING; VECTORS;

ECONOMETRICS; MATHEMATICAL DIFFUSION EQUATIONS;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 0347985219     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00221-X     Document Type: Article

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