Maximum Likelihood Estimation for Integrated Diffusion Processes

DOI10.1007/978-3-642-03479-4_20OpenAlexW1515307619MaRDI QIDQ3000892

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

Mathematics Subject Classification ID

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

Related Items (8)

Unnamed Item ⋮ Contrast estimation for noisy observations of diffusion processes via closed-form density expansions ⋮ A transformation approach to modelling multi-modal diffusions ⋮ Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Prediction-based estimating functions: review and new developments ⋮ Adaptive nonparametric drift estimation of an integrated jump diffusion process ⋮ Simple simulation of diffusion bridges with application to likelihood inference for diffusions ⋮ Sensor fault detection and isolation: a game theoretic approach

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