A Refinement to Aiet-Sahalia's (2002) 'Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach'

Gurdip Bakshi; Nengjiu Ju

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A Refinement to Aiet-Sahalia's (2002) 'Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach'

机译：对Aiet-Sahalia（2002）“离散采样扩散的最大似然估计：一种封闭形式的近似方法”的改进

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This paper provides a closed-form density approximation when the underlying state variable is a one-dimensional diffusion. Building on Aiet-Sahalia (2002), we show that our refinement is applicable under a wide class of drift and diffusion functions. In addition, it facilitates the maximum likelihood estimation of discretely sampled diffusion models of short interest-rate or stock volatility with unknown conditional densities. Our interest-rate examples demonstrate that the analytical approximation is sufficiently accurate.

机译：当基础状态变量是一维扩散时，本文提供了一种封闭形式的密度近似。基于Aiet-Sahalia（2002），我们表明我们的改进适用于各种漂移和扩散函数。此外，它有助于在条件密度未知的情况下，对短期利率或股票波动率的离散采样扩散模型进行最大似然估计。我们的利率示例表明，分析逼近足够准确。

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来源
《The Journal of Business》 |2005年第5期|p.2037-2052|共16页
作者
Gurdip Bakshi; Nengjiu Ju;
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Smith School of Business, University of Maryland;

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正文语种 eng
中图分类 f;
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1. Maximum likelihood estimation of discretely sampled diffusions: a closed-form approximation approach [J] . Yacine Ait-Sahalia Econometrica . 2002,第1期

机译：离散采样扩散的最大似然估计：一种封闭形式的近似方法
2. Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan [J] . Jialin Yu Journal of Econometrics . 2007,第2期

机译：闭合形式似然逼近和跳跃扩散估计及其在人民币重整风险中的应用
3. On simulated likelihood of discretely observed diffusion processes and comparison to closed-form approximation [J] . Stramer O, Yan J Journal of computational and graphical statistics: A joint publication of American Statistical Association, Institute of Mathematical Statistics, Interface Foundation of North America . 2007,第3期

机译：关于离散观察到的扩散过程的模拟可能性及其与闭式近似的比较
4. Closed-form solution+maximum likelihood: a robust approach to motion and structure estimation [C] . Weng, J., Ahuja, . 1988

机译：封闭式解决方案+最大似然：运动和结构估计的可靠方法
5. A comparison of alternative approximations to maximum likelihood estimation for hierarchical generalized linear models: The logistic-normal model case. [D] . Yosef, Matheos. 2001

机译：分层广义线性模型的替代近似与最大似然估计的比较：对数正态模型。
6. Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments [O] . Philipp Eisenhauer, James J. Heckman, Stefano Mosso -1

机译：动态离散选择模型的最大似然估计和矩模拟方法
7. Maximum-Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach [O] . Yacine Ait-Sahalia 1998

机译：离散采样扩散的最大似然估计：封闭式方法

A Refinement to Aiet-Sahalia's (2002) 'Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach'

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