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A Brief Review of a Term Saddlepoint Approximation Method for Estimating Diffusion Processes
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 Title & Authors
A Brief Review of a Term Saddlepoint Approximation Method for Estimating Diffusion Processes
Lee, Eun-Kyung; Lee, Yoon-Dong; Choi, Young-Soo;
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Recently various methods were suggested and reviewed for estimating diffusion processes. Out of suggested estimation method, we mainly concerns on the estimation method using saddlepoint approximation method, and we suggest a term saddlepoint approximation(ASP) method which is the simplest saddlepoint approximation method. We will show that ASP method provides fast estimator as much as Euler approximation method(EAM) in computing, and the estimator also has good statistical properties comparable to the maximum likelihood estimator(MLE). By simulation study we compare the properties of ASP estimator with MLE and EAM, for Ornstein-Uhlenbeck diffusion processes.
Diffusion processes;saddlepoint approximation;transition density;
 Cited by
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