Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data /
Lo, Andrew W.
Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data / Andrew W. Lo. - Cambridge, Mass. National Bureau of Economic Research 1986. - 1 online resource: illustrations (black and white); - NBER technical working paper series no. t0059 . - Technical Working Paper Series (National Bureau of Economic Research) no. t0059. .
August 1986.
In this paper, we consider the parametric estimation problem for continuous time stochastic processes described by general first-order nonlinear stochastic differential equations of the Ito type. We characterize the likelihood function of a discretely-sampled set of observations as the solution to a functional partial differential equation. The consistency and asymptotic normality of the maximum likelihood estimators are explored, and several illustrative examples are provided.
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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data / Andrew W. Lo. - Cambridge, Mass. National Bureau of Economic Research 1986. - 1 online resource: illustrations (black and white); - NBER technical working paper series no. t0059 . - Technical Working Paper Series (National Bureau of Economic Research) no. t0059. .
August 1986.
In this paper, we consider the parametric estimation problem for continuous time stochastic processes described by general first-order nonlinear stochastic differential equations of the Ito type. We characterize the likelihood function of a discretely-sampled set of observations as the solution to a functional partial differential equation. The consistency and asymptotic normality of the maximum likelihood estimators are explored, and several illustrative examples are provided.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.