Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters (Q5066397)
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scientific article; zbMATH DE number 7499869
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| English | Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters |
scientific article; zbMATH DE number 7499869 |
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Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters (English)
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29 March 2022
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discrete nonlinear filtering
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particle filter
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sequential importance resampling
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stochastic volatility
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maximum likelihood estimation
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