Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 758455
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
- Efficient importance sampling maximum likelihood estimation of stochastic differential equations
Cites work
- A measure-valued differentiation approach to sensitivities of quantiles
- A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
- Approximating a Point Process by a Renewal Process, I: Two Basic Methods
- Asymptotic Statistics
- Bayesian calibration of computer models. (With discussion)
- Conditional Monte Carlo estimation of quantile sensitivities
- Data-driven inverse optimization with imperfect information
- Estimating quantile sensitivities
- Estimation for an M/G/ queue with incomplete information
- Estimation for queues from queue length data
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models
- Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions
- Handbooks in operations research and management science: Simulation
- scientific article; zbMATH DE number 46153 (Why is no real title available?)
- scientific article; zbMATH DE number 50675 (Why is no real title available?)
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 1972910 (Why is no real title available?)
- scientific article; zbMATH DE number 3238721 (Why is no real title available?)
- Inference in hidden Markov models.
- Inverse optimization for the recovery of market structure from market outcomes: an application to the MISO electricity market
- Inverse optimization: a new perspective on the Black-Litterman model
- Inverse Problem Theory and Methods for Model Parameter Estimation
- Kernel estimation of quantile sensitivities
- Mathematical Statistics
- Maximum likelihood estimates and confidence intervals of an \(M/M/R\) queue with heterogeneous servers
- Maximum likelihood estimation for single server queues from waiting time data
- Optimization-based calibration of simulation input models
- Parameter estimation using partial information with applications to queueing and related models
- Pathwise estimation of probability sensitivities through terminating or steady-state simulations
- Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
- Sequential Monte Carlo Methods for Dynamic Systems
- Sequential Monte Carlo Methods in Practice
- Simulating sensitivities of conditional value at risk
- Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
- The Queue Inference Engine: Deducing Queue Statistics from Transactional Data
- Unbiased estimation with square root convergence for SDE models
Cited in
(9)- Calibrating nonstationary queueing network models
- scientific article; zbMATH DE number 1943893 (Why is no real title available?)
- A Stochastic Approximation Method for Simulation-Based Quantile Optimization
- Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
- A quasi-likelihood approach to parameter estimation for simulatable statistical models
- Density Estimation by Monte Carlo and Quasi-Monte Carlo
- An empirical quantile estimation approach for chance-constrained nonlinear optimization problems
- Review of large-scale simulation optimization
- Generalized likelihood ratio method for stochastic models with uniform random numbers as inputs
This page was built for publication: Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5144802)
