Estimating the parameters of stochastic differential equations

DOI10.1016/S0378-4754(99)00017-8zbMath0927.62082MaRDI QIDQ1299880

A. S. Hurn, Kenneth A. Lindsay

Publication date: 14 December 1999

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

interest ratesmaximum likelihoodkernelKolmogorov equationtime-seriesspectral integrationtransitional density

Mathematics Subject Classification ID

Related Items (4)

Estimation of parameters in mean-reverting stochastic systems ⋮ Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering ⋮ Estimating the parameters of stochastic differential equations using a criterion function ⋮ Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC

Cites Work

• Stochastic processes and filtering theory
• A Theory of the Term Structure of Interest Rates
• On optimal data-based bandwidth selection in kernel density estimation
• Nonparametric Pricing of Interest Rate Derivative Securities
• An equilibrium characterization of the term structure
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Estimating the parameters of stochastic differential equations