Monte Carlo maximum likelihood estimation for discretely observed diffusion processes

DOI10.1214/07-AOS550zbMATH Open1169.65004arXiv0903.0290OpenAlexW2092395301MaRDI QIDQ1002156FDOQ1002156

Authors: Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts 

Publication date: 25 February 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper introduces a Monte Carlo method for maximum likelihood inference in the context of discretely observed diffusion processes. The method gives unbiased and a.s.@ continuous estimators of the likelihood function for a family of diffusion models and its performance in numerical examples is computationally efficient. It uses a recently developed technique for the exact simulation of diffusions, and involves no discretization error. We show that, under regularity conditions, the Monte Carlo MLE converges a.s. to the true MLE. For datasize $noinfty$, we show that the number of Monte Carlo iterations should be tuned as $mathcalO(n^{1/2})$ and we demonstrate the consistency properties of the Monte Carlo MLE as an estimator of the true parameter value.

Full work available at URL: https://arxiv.org/abs/0903.0290

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zbMATH Keywords

numerical examplesmaximum likelihood estimatorcouplingexact simulationMonte Carlo methodBrownian bridgelogistic growth stochastic differential equationretrospective rejection sampling algorithmstrong law of large numbers on Banach space

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (32)

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