PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
Omiros Papaspiliopoulos, Gareth Roberts and Alex Beskos
Annals of Statistics 2009.

Abstract

This paper introduces a Monte Carlo method for maximum likelihood inference in the context of discretely observed diffusion processes. The method gives unbiased and a.s. continuous estimators of the likelihood function for a family of diffusion models and its performance in numerical examples is computationally efficient. It uses a recently developed technique for the exact simulation of diffusions, and involves no discretization error. We show that, under regularity conditions, the Monte Carlo MLE converges a.s. to the true MLE. For datasize n→∞, we show that the number of Monte Carlo iterations should be tuned as $\mathcal{O}(n^{1/2})$ and we demonstrate the consistency properties of the Monte Carlo MLE as an estimator of the true parameter value.

EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
Theory & Algorithms
ID Code:5009
Deposited By:Omiros Papaspiliopoulos
Deposited On:24 March 2009