Statistical algorithms for low-frequency diffusion data: A PDE approach
低频扩散数据的统计算法：偏微分方程方法
We consider the problem of making nonparametric inference in a class of multi-dimensional diffusions in divergence form, from low-frequency data. Statistical analysis in this setting is notoriously challenging due to the intractability of the likelihood and its gradient, and computational methods have thus far largely resorted to expensive simulation-based techniques. In this article, we propose a new computational approach which is motivated by PDE theory and is built…