Egorov, Alexei V.; Li, Haitao; Xu, Yuewu - 2002
We extend the maximum likelihood estimation method of Ait-Sahalia (2002) for time-homogeneous diffusions to time-inhomogeneous ones. We derive a closed-form approximation of the likelihood function for discretely sampled time-inhomogeneous diffusions, and prove that this approximation converges...
