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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
two moments of the distribution are approximately the true moments of the unknown transitional density. For affine drift … and diffusion functions, the moments are shown to be exactly those of the true transitional density and for nonlinear …
Persistent link: https://www.econbiz.de/10008694498
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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 efficient, but unfortunately difficult to obtain if a closed form expression for the transitional probability density function of the process is not available. As a result, a...
Persistent link: https://www.econbiz.de/10005766333