Estimating parameters in diffusion processes using an approximate maximum likelihood approach
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)
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Cites work
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- Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
- Discrete models and Fisher's maximum principle in ecology
- Estimating equations based on eigenfunctions for a discretely observed diffusion process
- Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 758455 (Why is no real title available?)
- Large Sample Properties of Generalized Method of Moments Estimators
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Martingale estimation functions for discretely observed diffusion processes
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Stochastic differential equations. An introduction with applications.
- Two singular diffusion problems
Cited in
(20)- On the parameter estimation of diffusional type processes with constant coefficients (elementary Gaussian processes)
- Estimating the parameters of stochastic differential equations
- Likelihood inference for a discretely observed stochastic partial differential equation
- Efficient computation of the quasi likelihood function for discretely observed diffusion processes
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- Parameter inference for stochastic differential equations with density tracking by quadrature
- Approximate maximum likelihood estimation of a threshold diffusion process
- On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices
- Parameter estimation for multivariate diffusion systems
- Inference for Diffusion Processes
- Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach
- scientific article; zbMATH DE number 813752 (Why is no real title available?)
- Approximate maximum likelihood estimation for one-dimensional diffusions observed on a fine grid
- Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds
- On local linear approximations to diffusion processes
- Estimation of 1-dimensional nonlinear stochastic differential equations based on higher-order partial differential equation numerical scheme and its application
- Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
- A regularized bridge sampler for sparsely sampled diffusions
- Globally optimal parameter estimates for nonlinear diffusions
- Comment: ``The 2005 Neyman lecture: dynamic indeterminism in science
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