Nonlinear continuous time modeling approaches in panel research
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Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Inference from stochastic processes and prediction (62M20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)
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Cites work
- Comparative study of estimation methods for continuous time stochastic processes
- Continuous time state space modeling of panel data by means of sem
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Gaussian filters for nonlinear filtering problems
- scientific article; zbMATH DE number 3928227 (Why is no real title available?)
- scientific article; zbMATH DE number 3699894 (Why is no real title available?)
- scientific article; zbMATH DE number 3542355 (Why is no real title available?)
- scientific article; zbMATH DE number 1090979 (Why is no real title available?)
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 1869269 (Why is no real title available?)
- scientific article; zbMATH DE number 872242 (Why is no real title available?)
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models
- Nonlinear Bayesian estimation using Gaussian sum approximations
- Stochastic processes and filtering theory
- The pricing of options and corporate liabilities
Cited in
(12)- A hierarchical Ornstein-Uhlenbeck model for continuous repeated measurement data
- Dynamic analysis of multivariate panel data with nonlinear transformations
- Continuous time state space modeling of panel data by means of sem
- Continuous time modeling of panel data: SEM versus filter techniques
- Continuous‐time modelling of irregularly spaced panel data using a cubic spline model
- Problems with the estimation of stochastic differential equations using structural equations models
- Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
- Continuous panel models with time dependent parameters
- A nonlinear panel data model of cross-sectional dependence
- Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
- Estimation of nonlinear mixed‐effects continuous‐time models using the continuous‐discrete extended Kalman filter
- Maximum likelihood estimation for social network dynamics
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