A Comparative Study of Likelihood Approximations for Univariate Diffusions*.

Maximum likelihood estimation of the parameters of stochastic differential equations commonly used in finance requires numerical approximation of their transitional probability density functions. This article undertakes a comparative study of the accuracy of Hermite polynomial expansion approximatio...

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Publicado en:	Journal of Financial Econometrics Vol. 21; no. 3; pp. 852 - 880
Autores principales:	Hurn, Stan, Lindsay, Kenneth, Xu, Lina
Formato:	Artículo
Publicado:	Oxford University Press / USA Summer2023
Materias:	Stochastic differential equations Maximum likelihood statistics Hermite polynomials Polynomial approximation Probability density function
Acceso en línea:	Ver este registro en EBSCOhost