scientific article; zbMATH DE number 2075000

MaRDI QIDQ4469475zbMATH OpenFDO

Authors Dimitrinka Vladeva

Publication date 15 June 2004

zbMATH Keywords

maximum likelihood estimationdiffusion process\(k\)-dimensional Wiener processdiscrete random sampling

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Estimation in multivariate analysis (62H12)

Recommendations

• Estimation of parameters in linear diffusion models
• scientific article; zbMATH DE number 1204371
• Approximate maximum likelihood estimation for diffusion processes from discrete observations
• Estimating parameters of diffusion process with unreachable boundary
• Estimation of diffusion parameters for discretely observed diffusion processes

Cited in

(3)

• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Maximum likelihood estimation for birth and multidimensional Brownian process
• Monte Carlo maximum likelihood estimation for discretely observed diffusion processes

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4469475)