Stan Hurn, A.; Lindsay, K.A. - In: Mathematics and Computers in Simulation (MATCOM) 43 (1997) 3, pp. 495-501
We propose a method for the simultaneous estimation of the drift and diffusion coefficients of stochastic differential equations (SDE) from panel data. The method involves matching the distribution of the experimental/field data with a panel of simulated data generated by a Monte Carlo...