Transition density and simulated likelihood estimation for time-inhomogeneous diffusions

DOI10.1080/03610918.2010.500107MaRDI QIDQ3590017zbMATH OpenOpenAlexFDO

Authors João Nicolau

Publication date 17 September 2010

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2010.500107

zbMATH Keywords

conditional moments estimationsimulated maximum likelihood estimatorstochastic differential equationstime-inhomogeneous diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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Cites work

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• Exact simulation of diffusions
• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
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• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• Simulation and inference for stochastic differential equations. With R examples.
• Stochastic Limit Theory

Cited in

(7)

• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
• Approximate maximum likelihood estimation of semi-parametric jump-diffusion model -- closed-expansion method based on transfer density
• Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
• Tuning of a Bayesian estimator under discrete time observations and unknown transition density
• scientific article; zbMATH DE number 2213959 (Why is no real title available?)

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Uses Software

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