Publicação

Transition density and simulated likelihood estimation for time-inhomogeneous diffusions

Detalhes bibliográficos
Resumo:	We propose a method to estimate the transition density of a non-linear time-inhomogeneous diffusion. Expressing the transition density as a functional of a Brownian bridge, allows us to estimate the density through Monte Carlo simulations with any level of precision. We show how these transition density estimates can be effectively used to estimate the parameters of the time-inhomogeneous diffusion and the conditional moments of the process. In this paper we prove that our method is asymptotically equivalent to the maximum likelihood estimator and more reliable than the closed-form approximation approach largely used in the literature.
Autores principais:	Nicolau, João
Assunto:	Estimation for Time-inhomogeneous Diffusions
Ano:	2010
País:	Portugal
Tipo de documento:	artigo
Tipo de acesso:	acesso aberto
Instituição associada:	Universidade de Lisboa
Idioma:	inglês
Origem:	Repositório da Universidade de Lisboa

Descrição
Resumo:	We propose a method to estimate the transition density of a non-linear time-inhomogeneous diffusion. Expressing the transition density as a functional of a Brownian bridge, allows us to estimate the density through Monte Carlo simulations with any level of precision. We show how these transition density estimates can be effectively used to estimate the parameters of the time-inhomogeneous diffusion and the conditional moments of the process. In this paper we prove that our method is asymptotically equivalent to the maximum likelihood estimator and more reliable than the closed-form approximation approach largely used in the literature.