Closed-form likelihood expansions for multivariate diffusions

Details Closed-form likelihood expansions for multivariate diffusions Closed-form likelihood expansions for multivariate diffusions

2008-04-04

arxiv.org/abs/0804.0758v1

Annals of Statistics 2008, Vol. 36, No. 2, 906-937

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/009053607000000622 the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053607000000622

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.

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