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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1997 Volume 42, Issue 2, Pages 364–370 (Mi tvp1810)

This article is cited in 1 paper

Short Communications

Bias correction for the estimation of discretized diffusion processes from an approximated likelihood function

E. Clement


Abstract: We consider the parameter estimation of a discretized diffusion process based on an approximation of the likelihood function. We suppose the observation step fixed and we propose to correct the bias of such estimators by using simulations of the process.

Keywords: diffusion process, discretization scheme, Euler scheme, asymptotic properties of estimators.

Received: 18.10.1995

Language: English

DOI: 10.4213/tvp1810


 English version:
Theory of Probability and its Applications, 1998, 42:2, 283–288

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