Closed-Form Likelihood Expansions for Multivariate Diffusions

Citation
Aït-sahalia, Yacine, Closed-Form Likelihood Expansions for Multivariate Diffusions, Annals of statistics , 36(2), 2008, pp. 906-937
Journal title
ISSN journal
00905364
Volume
36
Issue
2
Year of publication
2008
Pages
906 - 937
Database
ACNP
SICI code
Abstract
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by exploiting the special structure afforded by the diffusion model. Examples of interest in financial statistics and Monte Carlo evidence are included, along with the convergence of the expansion to the true likelihood function.