Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach
收藏NBER1998-02-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0222
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When a continuous-time diffusion is observed only at discrete dates, not necessarily close together, the likelihood function of the observations is in most cases not explicitly computable. Researchers have relied on simulations of sample paths in between the observations points, or numerical
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美国国家经济研究局创建时间：
1998-02-01
