Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (Q5474965): Difference between revisions

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scientific article; zbMATH DE number 5032854

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English	Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach	scientific article; zbMATH DE number 5032854

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scholarly article

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title

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (English)

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16 June 2006

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/1468-0262.00274

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cites work

Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models

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New developments in state estimation for nonlinear systems

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Quasi-Moment Functions in the Theory of Random Processes

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A new method for the nonlinear transformation of means and covariances in filters and estimators

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Stochastic processes and filtering theory

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Gaussian filters for nonlinear filtering problems

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Exact finite-dimensional nonlinear filters

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Q5536163

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Q4404205

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Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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Q5558293

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Identifiers

zbMATH Open document ID

1104.62323

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DOI

10.1111/1468-0262.00274

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5474965

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@@ Property / cites work @@
+Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models
+Normal rank
@@ Property / cites work @@
+New developments in state estimation for nonlinear systems
+Normal rank
@@ Property / cites work @@
+Quasi-Moment Functions in the Theory of Random Processes
+Normal rank
@@ Property / cites work @@
+A new method for the nonlinear transformation of means and covariances in filters and estimators
+Normal rank
@@ Property / cites work @@
+Stochastic processes and filtering theory
@@ Property / cites work: Stochastic processes and filtering theory / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian filters for nonlinear filtering problems
@@ Property / cites work: Gaussian filters for nonlinear filtering problems / rank @@
+Normal rank
@@ Property / cites work @@
+Exact finite-dimensional nonlinear filters
@@ Property / cites work: Exact finite-dimensional nonlinear filters / rank @@
+Normal rank
@@ Property / cites work @@
+Q5536163
@@ Property / cites work: Q5536163 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4404205
@@ Property / cites work: Q4404205 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
+Normal rank
@@ Property / cites work @@
+Q5558293
@@ Property / cites work: Q5558293 / rank @@
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+Publication:5474965