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~institution:"National Centre for Econometric Research (NCER)"
~language:"eng"
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maximum likelihood
2
moments
2
parameter estimation
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stochastic differential equations
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cumulative
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quasi-maximum likelihood
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simulation
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stochastic di®erential equations
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Hurn, Stan
2
Jeisman, J.
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Lindsay, K.
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National Centre for Econometric Research (NCER)
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
Hurn, Stan
;
McClelland, Andrew
;
Lindsay, Kenneth
-
National Centre for Econometric Research (NCER)
-
2010
-dimensional stochastic differential
equations
. The transitional density is taken to be a time-varying multivariate Gaussian where the first …
Persistent link: https://www.econbiz.de/10008694498
Saved in:
2
Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential
Equations
by Numerical Solution of the Fokker-Planck Equation
Hurn, A.
;
Jeisman, J.
;
Lindsay, K.
-
National Centre for Econometric Research (NCER)
-
2007
Many stochastic differential
equations
(SDEs) do not have readily available closed-form expressions for their …
Persistent link: https://www.econbiz.de/10005766332
Saved in:
3
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential
Equations
. Working paper #2
Hurn, Stan
;
Jeisman, J.
;
Lindsay, K.A.
-
National Centre for Econometric Research (NCER)
-
2006
Maximum-likelihood estimates of the parameters of stochastic differential
equations
are consistent and asymptotically …-Uhlenbeck
equations
respectively. …
Persistent link: https://www.econbiz.de/10005766333
Saved in:
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