Information theory for maximum likelihood estimation of diffusion models
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 3215021 (Why is no real title available?)
- scientific article; zbMATH DE number 3252891 (Why is no real title available?)
- scientific article; zbMATH DE number 3252892 (Why is no real title available?)
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A New Form of the Information Matrix Test
- A theory of the term structure of interest rates
- A transformation approach to modelling multi-modal diffusions
- An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
- Differential geometry of curved exponential families. Curvatures and information loss
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- I-divergence geometry of probability distributions and minimization problems
- Improving robust model selection tests for dynamic models
- Limit theorems for random walks, birth and death processes, and diffusion processes
- Limiting Distribution of the Maximum of a Diffusion Process
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum Likelihood Estimation of Misspecified Models
- Maximum and minimum of one-dimensional diffusions
- Misspecified models with dependent observations
- Model selection tests for nonlinear dynamic models
- On Information and Sufficiency
- On the approximate maximum likelihood estimation for diffusion processes
- Parameter estimation and bias correction for diffusion processes
- Stochastic differential equations. An introduction with applications.
- The Covariance Matrix of the Information Matrix Test
- The geometry of exponential families
Cited in
(10)- An Information Theoretic Approach for Estimating Nonlinear Dynamic Models
- Minimization of the Kullback information of diffusion processes
- Information criteria for small diffusions via the theory of Malliavin-Watanabe
- An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- Approximate Solutions of Lagrange Multipliers for Information-Theoretic Random Field Models
- Information bounds and MCMC parameter estimation for the pile-up model
- Computation of Information Rates by Particle Methods
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
- scientific article; zbMATH DE number 5052074 (Why is no real title available?)
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