Maximum likelihood estimation of partially observed diffusion models

DOI10.1016/J.JECONOM.2014.02.002zbMATH Open1298.62143OpenAlexW1998322595MaRDI QIDQ469573FDOQ469573

Authors: Tore Selland Kleppe, Jun Yu, Hans J. Skaug 

Publication date: 11 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1797

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zbMATH Keywords

diffusion modelclosed-form approximationefficient importance sampler

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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Cited In (12)

• MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
• Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
• Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
• Maximum likelihood estimation for integrated diffusion processes
• Weak diffusion limits of dynamic conditional correlation models
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• Filtering for partially observed diffusion and its applications
• Maximum likelihood estimation of latent Markov models using closed-form approximations
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Maximum likelihood inference for univariate delay differential equation models with multiple delays
• Estimation of regime-switching diffusions via Fourier transforms
• Maximum likelihood estimation of the DDRCINAR(p) model

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