Estimating the parameters of stochastic differential equations using a criterion function

DOI10.1080/00949659908811979zbMath0979.62063OpenAlexW2462167935MaRDI QIDQ4942513

A. David McDonald, Leif Kristoffer Sandal

Publication date: 18 February 2002

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659908811979

zbMATH Keywords

diffusion termsdrift terms

Mathematics Subject Classification ID

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

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Cites Work

• Estimating the parameters of stochastic differential equations
• Numerical solution of SDE through computer experiments. Including floppy disk
• The analysis of randomized experiments with orthogonal block structure. I. Block structure and the null analysis of variance
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