Maximum likelihood estimation for integrated diffusion processes

DOI10.1007/978-3-642-03479-4_20OpenAlexW1515307619MaRDI QIDQ3000892FDOQ3000892

Fernando Baltazar-Larios, Michael Sørensen

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/21591377/rp10_33.pdf

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Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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• Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
• Approximate maximum likelihood estimation of a threshold diffusion process
• Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
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• Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
• Adaptive nonparametric drift estimation of an integrated jump diffusion process
• Maximum likelihood inference for univariate delay differential equation models with multiple delays
• Quasi-maximum likelihood estimation of multivariate diffusions
• Asymptotic likelihood based inference for co-integrated homogeneous Gaussian diffusions

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