Abstract
This chapter reviews closed form expansions for discretely sampled diffusions, and their use for likelihood inference and testing. The method is applicable to a large class of models, covering both univariate and multivariate processes, and with a state vector that is either fully or partially observed. Examples are included.
| Original language | English (US) |
|---|---|
| Title of host publication | Frontiers in Statistics |
| Subtitle of host publication | Dedicated to Peter John Bickel in Honor of his 65th Birthday |
| Publisher | Imperial College Press |
| Pages | 369-405 |
| Number of pages | 37 |
| ISBN (Electronic) | 9781860948886 |
| ISBN (Print) | 1860946704, 9781860946707 |
| DOIs | |
| State | Published - Jan 1 2006 |
All Science Journal Classification (ASJC) codes
- General Computer Science
- General Mathematics