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A quasi-likelihood approach to estimating parameters in diffusion-type processes

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

C. C. Heyde
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Abstract

Estimation of parameters in diffusion models is usually handled by maximum likelihood and involves the calculation of a Radon–Nikodym derivative. This methodology is often not available when minor changes are made to the model. However, these complications can usually be avoided and results obtained under more general conditions using quasi-likelihood methods. The basic ideas are explained in this paper and are illustrated through discussion of the Cox–Ingersoll–Ross model and a modification of the Langevin model.

Keywords

COX-INGERSOLL-ROSS MODELLANGEVIN MODELINFERENCEPARAMETER ESTIMATIONDIFFUSION PROCESSES

MSC classification

Primary: 60J60: Diffusion processes
Type
Part 5 Statistical Studies
Information
Journal of Applied Probability , Volume 31 , Issue A , 1994 , pp. 283 - 290
Copyright
Copyright © Applied Probability Trust 1994 

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