On the Statistical Estimation of Diffusion Processes - A Survey

Abstract

Data available on continuos-time di¤usions are always sampled discretely in time. In most cases, the likelihood function of the observations is not directly computable. This survey covers a sample of the statistical methods that have been developed to solve this problem. We concentrate on some recent contributions to the literature based on three di¤erent approaches to the problem: an improvement of the Euler-Maruyama discretization scheme, the use of Martingale Estimating Functions and the application of Generalized Method of Moments (GMM).