Truncated dynamics and estimation of diffusion equations.
We study inference on continuous-time processes from discrete data with a given time interval between consecutive observations, and propose a modification of the sieve estimation method based on the infinitesimal generator. Our approach consists on truncating the initial process to improve the estim...
| Publicado en: | Journal of Econometrics Vol. 102; no. 1; pp. 1 - 23 |
|---|---|
| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
May 2001
|
| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |