Parametric inference for diffusion processes observed at discrete points in time : a survey

  title={Parametric inference for diffusion processes observed at discrete points in time : a survey},
  author={Helle S\orensen},
This paper is a survey of existing estimation techniques for stationary and ergodic diffusion processes observed at discrete points in time. Th e reader is introduced to the following techniques: (i) estimating functions with special emphasis on martingale estimating functions and so-called simple estimatingfunctions; (ii) analytical and numerical approximations of the likelihood which can inprinciple be made arbitrarily accurate; ( iii) Bayesian analysis and MCMC methods; and ( iv) indirect… CONTINUE READING

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