Efficient computation of the quasi likelihood function for discretely observed diffusion processes

DOI10.1016/j.csda.2016.05.014zbMath1466.62100arXiv1509.07751OpenAlexW2418128690MaRDI QIDQ1659017

Erik Lindström, Lars Josef Höök

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.07751

zbMATH Keywords

stochastic differential equationdiffusion processmaximum likelihoodquasi likelihoodconditional moment

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Uses Software

• MATLAB expm
• BENCHOP

Cites Work

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