## Parametric Inference for Diffusion Processes Observed At Discrete Points in Time: A Survey

Citations: | 24 - 2 self |

### BibTeX

@MISC{Sørensen_parametricinference,

author = {Helle Sørensen},

title = {Parametric Inference for Diffusion Processes Observed At Discrete Points in Time: A Survey},

year = {}

}

### OpenURL

### Abstract

This paper is a survey of existing estimation techniques for stationary and ergodic diffusion processes observed at discrete points in time. The reader is introduced to the following techniques: (i) estimating functions with special emphasis on martingale estimating functions and so-called simple estimating functions; (ii) analytical and numerical approximations of the likelihood which can in principle be made arbitrarily accurate; (iii) Bayesian analysis and MCMC methods; and (iv) indirect inference and EMM which both introduce auxiliary (but wrong) models and correct for the implied bias by simulation