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

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

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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