Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes
نویسندگان
چکیده
منابع مشابه
Comment on Garland B. Durham and A. Ronald Gallant’s “Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes”
This paper proposes an interesting approach for estimating the parameters of nonlinear diffusion models with discretely sampled data. The parameter estimates are obtained by maximizing an approximate likelihood function that is obtained by a Monte Carlo importance sampling method. As the authors point out, the elements of their approach are not substantially new. In particular, the idea of appr...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2002
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500102288618397