O aproksymacjach funkcji przejścia dla jednowymiarowych procesów dyfuzji
On Approximation of Transition Density for One-Dimensional Diffusion Processes

Summary/Abstract: Estimation methods for stochastic differentia equations driver by discretely sampled continuous diffusion processes may be split into two categories: maximum likelihood methods and methods based on the general method of moments. Usually, one does not know neither likelihood function nor theoretical moments of diffusion process and cannot construct estimators. Therefore many methods was developed to approximating unknown transition density. The aim of article is to compare properties of selected approaches, indicate their merits and limitations.

• Details
• Contents