出版社：The Institute of Applied Statistics, Sri Lanka
摘要：A class of martingale estimating functions provides a convenient framework for studying inference for nonlinear time series models. Further, when information about higher order conditional moments of the observed process is available, the estimation based on combined estimating functions becomes more informative. In this paper, a general framework is developed for estimating parameters of diffusion processes with discretely sampled data using combined estimating functions. The approach is used to study parameter estimation for diffusion models for asset pricing including the Black Scholes model, the Vasicek model, and the Cox-Ingersoll-Ross (CIR) model. Closed form expressions for the gain in information are also discussed in some detail. DOI: http://dx.doi.org/10.4038/sljastats.v12i0.4972 Sri Lankan Journal of Applied Statistics Vol.12 2011 pp.145-160
关键词：Statistics;Combined Estimating Functions; Diffusion Processes; Information
