Parameter estimation for multivariate diffusion systems

DOI10.1016/j.csda.2012.07.010zbMath1365.62089arXiv0909.5299OpenAlexW2054615303MaRDI QIDQ2359498

Melvin M. Varughese

Publication date: 29 June 2017

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

Full work available at URL: https://arxiv.org/abs/0909.5299

zbMATH Keywords

saddlepoint approximationFokker-Planck equationMarkov chain Monte Carlodiffusion processcumulant truncation procedure

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Economic time series analysis (91B84) Diffusion processes (60J60)

Related Items

Efficient computation of the quasi likelihood function for discretely observed diffusion processes ⋮ Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations

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