A new technique for simulating the likelihood of stochastic differential equations

DOI10.1111/1368-423X.t01-1-00075zbMath1006.60049MaRDI QIDQ4551772

João Nicolau

Publication date: 24 February 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationestimation of the transitional densitysimulated likelihood method

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Unnamed Item
• ARCH models as diffusion approximations
• Estimation of the coefficients of a diffusion from discrete observations
• Approximate discrete-time schemes for statistics of diffusion processes
• Estimation of an Ergodic Diffusion from Discrete Observations

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