Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data / Andrew W. Lo.

By:

Lo, Andrew W

Contributor(s):

National Bureau of Economic Research

Material type: Text

TextSeries: Technical Working Paper Series (National Bureau of Economic Research) ; no. t0059.Publication details: Cambridge, Mass. National Bureau of Economic Research 1986.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: 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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Previous	nber t0056 Sequential Bargaining Under Asymmetric Information /	nber t0057 Testing for Individual Effects in Dynamic Models Using Panel Data /	nber t0058 Bias in Longitudinal Estimation of Wage Gaps /	nber t0059 Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data /	nber t0060 Temporal Aggregation and Structural Inference in Macroeconomics /	nber t0061 Granger-Causality and Policy Ineffectiveness: A Rejoinder /	nber t0062 Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data /	Next

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.