Closed-form likelihood expansions for multivariate diffusions

被引:207
作者
Ait-Sahalia, Yacine [1 ,2 ]
机构
[1] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA
[2] NBER, Princeton, NJ 08544 USA
关键词
diffusions; likelihood; expansions; discrete observations;
D O I
10.1214/009053607000000622
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
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.
引用
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页码:906 / 937
页数:32
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