Closed-form likelihoods for stochastic differential equation growth models

DOI10.1002/CJS.10071zbMATH Open1327.62453OpenAlexW2132572455WikidataQ115406362 ScholiaQ115406362MaRDI QIDQ3589854FDOQ3589854

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Publication date: 20 September 2010

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.10071

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zbMATH Keywords

likelihood estimationstochastic differential equationspseudo-likelihoodsgrowth modelling

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• Encompassing and indirect inference
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• Likelihood functions based on parameter-dependent functions

Cited In (3)

• Stochastic continuous time growth models that allow for closed form solutions
• On the parameter estimation for stochastic growth laws through the maximum likelihood procedure
• Estimating reducible stochastic differential equations by conversion to a least-squares problem

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