Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes
连续时间扩散过程极大似然估计的数值技术
Stochastic differential equations often provide a convenient way to describe the dynamics of economic and financial data, and a great deal of effort has been expended searching for efficient ways to estimate models based on them. Maximum likelihood is typically the estimator of choice; however, since the transition density is generally unknown, one is forced to approximate it. The simulation-based approach suggested by Pedersen (1995) has great theoretical appeal, but…