Geodesic
Bias correction for the estimation of discretized diffusion processes from
Teoriâ veroâtnostej i ee primeneniâ, Tome 42 (1997) no. 2, pp. 364-370

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We consider the parameter estimation of a discretized diffusion process based on an approximation of the likelihood function. We suppose the observation step fixed and we propose to correct the bias of such estimators by using simulations of the process.
Keywords: discretization scheme, asymptotic properties of estimators.
Mots-clés : diffusion process, Euler scheme 
@article{TVP_1997_42_2_a10,
     author = {E. Clement},
     title = {Bias correction for the estimation of discretized diffusion processes from},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {364--370},
     publisher = {mathdoc},
     volume = {42},
     number = {2},
     year = {1997},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_1997_42_2_a10/}
}
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E. Clement. Bias correction for the estimation of discretized diffusion processes from. Teoriâ veroâtnostej i ee primeneniâ, Tome 42 (1997) no. 2, pp. 364-370. http://geodesic.mathdoc.fr/item/TVP_1997_42_2_a10/