Efficient importance sampling maximum likelihood estimation of stochastic differential equations

DOI10.1016/j.csda.2010.02.001zbMath1284.60119OpenAlexW2113986704MaRDI QIDQ2445730

Eduardo Rossi, Sergio Pastorello

Publication date: 14 April 2014

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

Full work available at URL: http://hdl.handle.net/10419/87103

zbMATH Keywords

stochastic differential equationimportance samplingdiffusion processtransition densitysimulated maximum likelihood

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inference from stochastic processes (62M99)

Related Items (3)

A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations ⋮ Efficient computation of the quasi likelihood function for discretely observed diffusion processes ⋮ Parameter identification for a stochastic logistic growth model with extinction

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