Closed-Form Likelihood Expansions for Multivariate Diffusions
收藏NBER2002-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w8956
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资源简介：
This paper provides closed-form expansions for the transition density and likelihood function of arbitrary multivariate diffusions. The expansions are based on a Hermite series, whose coefficients are calculated explicitly by exploiting the special structure afforded by the diffusion hypothesis.
提供机构：
美国国家经济研究局
创建时间：
2002-05-01
