So, in an advanced Econometrics course, the current topic relates to estimating transition densities and diffusion processes by MLE, such as this R package doc describes, for ex., and I have to admit to myself that I am starting to get lost.

What book(s) would you recommend for someone that has no background in Real/Complex analysis, yet still possesses a decent understanding of stochastic calc. and good background in fundamental econometrics? I am asking this because I feel most of the concepts are intuitive (if still the tiniest bit complex) once someone finally explains them to me, but actually following math texts/papers is difficult without a pure math background.

Any other quants that have experienced this can give me reading advice?

  • $\begingroup$ I found the papers of Ait Sahalia helpful in understanding estimation of diffusion processes. (I found them sophisticated but understandable). One of them is referenced in the document you linked. $\endgroup$ – Alex C Feb 24 '18 at 13:06
  • $\begingroup$ Those articles do seem well-written indeed, despite being complex as you say. $\endgroup$ – Coolio2654 Feb 26 '18 at 2:34

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