Maximum likelihood estimation of diffusions by continuous time Markov chain

DOI10.1016/j.csda.2021.107408OpenAlexW3197903445MaRDI QIDQ2076164

Yanyan Li

Publication date: 18 February 2022

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

Full work available at URL: https://arxiv.org/abs/2108.12649

zbMATH Keywords

diffusionstochastic differential equationestimationmaximum likelihood estimationMLEcontinuous time Markov chainSDECTMC

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

pymle ⋮ Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

Uses Software

• sde

Cites Work

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