On the Efficacy of Simulated Maximum Likelihood for Estimating the Parameters of Stochastic Differential Equation

A method for estimating the parameters of stochastic differential equations (SDEs) by simulated maximum likelihood is presented. This method is feasible whenever the underlying SDE is a Markov process. Estimates are compared to those generated by indirect inference, discrete and exact maximum likelihood. The technique is illustrated with reference to a one-factor model of the term structure of interest rates using 3-month US Treasury Bill data

MoreLess

Year of publication:	2003
Authors:	Hurn, Stan ; Lindsay, Kenneth ; Martin, Vance L.
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Stochastischer Prozess \| Stochastic process \| Simulation \| Analysis \| Mathematical analysis

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014087927