A genetic estimation algorithm for parameters of stochastic ordinary differential equations

DOI10.1016/J.CSDA.2003.11.025MaRDI QIDQ957005zbMATH OpenOpenAlexFDO

Authors Jamie Alcock, Kevin Burrage

Publication date 26 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2003.11.025

zbMATH Keywords

parameter estimationgenetic algorithmsstochastic ordinary differential equationsjump-diffusion equations

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Markov processes: estimation; hidden Markov models (62M05) Approximation methods and heuristics in mathematical programming (90C59)

Recommendations

• scientific article; zbMATH DE number 2147956
• Estimating the parameters of stochastic differential equations
• Parameter estimation of stochastic differential equation
• Estimation of the parameters in stochastic differential equations
• Parameter estimation of ordinary differential equations

Cites work

• scientific article; zbMATH DE number 3174032 (Why is no real title available?)
• scientific article; zbMATH DE number 3915420 (Why is no real title available?)
• scientific article; zbMATH DE number 194544 (Why is no real title available?)
• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 758455 (Why is no real title available?)
• A global optimization heuristic for estimating agent based models
• Estimating stochastic differential equations efficiently by minimum chi-squared
• Estimating the parameters of stochastic differential equations using a criterion function
• Estimation of an Ergodic Diffusion from Discrete Observations
• Estimation of the coefficients of a diffusion from discrete observations
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• The relative efficiency of method of moments estimators

Cited in

(7)

• A genetic algorithm estimation of the term structure of interest rates
• Novel techniques in parameter estimation for fractional dynamical models arising from biological systems
• Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
• Applications of optimization heuristics to estimation and modelling problems
• Annealing evolutionary stochastic approximation Monte Carlo for global optimization
• Annealing evolutionary stochastic approximation Monte Carlo for global optimization
• Parameter analysis based on stochastic model for differential evolution algorithm

Describes a project that uses

Uses Software

• FinTS
• GAToolBox

This page was built for publication: A genetic estimation algorithm for parameters of stochastic ordinary differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q957005)