Closed-form likelihood expansions for multivariate diffusions

Yacine Aït-Sahalia

doi:10.1214/009053607000000622

Closed-form likelihood expansions for multivariate diffusions

Yacine Aït-Sahalia

Research output: Contribution to journal › Article › peer-review

224 Scopus citations

Abstract

This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by exploiting the special structure afforded by the diffusion model. Examples of interest in financial statistics and Monte Carlo evidence are included, along with the convergence of the expansion to the true likelihood function.

Original language	English (US)
Pages (from-to)	906-937
Number of pages	32
Journal	Annals of Statistics
Volume	36
Issue number	2
DOIs	https://doi.org/10.1214/009053607000000622
State	Published - Apr 2008

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

Keywords

Diffusions
Discrete observations
Expansions
Likelihood

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10.1214/009053607000000622

Cite this

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abstract = "This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by exploiting the special structure afforded by the diffusion model. Examples of interest in financial statistics and Monte Carlo evidence are included, along with the convergence of the expansion to the true likelihood function.",

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author = "Yacine A{\"i}t-Sahalia",

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AB - This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by exploiting the special structure afforded by the diffusion model. Examples of interest in financial statistics and Monte Carlo evidence are included, along with the convergence of the expansion to the true likelihood function.

KW - Diffusions

KW - Discrete observations

KW - Expansions

KW - Likelihood

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ER -

Closed-form likelihood expansions for multivariate diffusions

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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