Hurn, A.S.; Lindsay, K.A. - In: Mathematics and Computers in Simulation (MATCOM) 48 (1999) 4, pp. 373-384
Two maximum likelihood methods for estimating the parameters of stochastic differential equations (SDEs) from time-series data are proposed. The first is that of simulated maximum likelihood in which a nonparametric kernel is used to construct the transitional density of an SDE from a series of...