Estimation for discretely observed diffusions using transform functions

By Leah A. Kelly, Eckhard Platen, Michael SØrensen. Journal of Applied Probability, 2003

64 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/a8402ae1a6269e88eb532963f20a2dca54af47a5

Citations in the corpus

• Statistical Methods for Stochastic Differential Equations (2012, unknown): “Kessler & Paredes (2002) assume that the approximation scheme Y (δ, θ, x) is of weak order β > 0 in the sense that |Eθ(g(X∆(x, θ), x; θ)) − E(g(Y∆(δ, θ, x), x; θ))| ≤ R(x; θ)δ (1.”