Maximum Likelihood Estimates of a Class of One-Dimensional Stochastic Differential Equation Models From Discrete Data

DOI10.1111/1467-9892.00238zbMath0979.62062OpenAlexW2079797772WikidataQ115260286 ScholiaQ115260286MaRDI QIDQ2759335

Eugene M. Cleur

Publication date: 12 December 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00238

zbMATH Keywords

Euler schemequadrature approximationdiscrete maximum likelihood estimators

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

Statistical aspects of the fractional stochastic calculus ⋮ Estimating reducible stochastic differential equations by conversion to a least-squares problem ⋮ Gaussian estimation for discretely observed Cox–Ingersoll–Ross model

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