This paper deals with the identification and maximum likelihood estimation of the parameters of a stochastic differential equation from discrete time sampling. Score function and maximum likelihood equations are derived explicitly. The stochastic differential equation system is extended to allow...

The unknown structural parameters of a continuous/discrete state space model are estimated by maximum likelihood in the presence of irregular sampling, missing values, and cross-sections of time series (panel data). Exogenous (control) variables are included, and the sampling scheme and missing...