Maximum likelihood estimation of drift and diffusion functions

DOI10.1016/j.physleta.2007.03.082zbMath1209.82028arXivphysics/0611102OpenAlexW2019548358WikidataQ126266580 ScholiaQ126266580MaRDI QIDQ715882

David Kleinhans, Rudolf Friedrich

Publication date: 19 April 2011

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0611102

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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