Transition Density and Simulated Likelihood Estimation for Time-Inhomogeneous Diffusions

DOI10.1080/03610918.2010.500107zbMath1200.62096OpenAlexW2101966745MaRDI QIDQ3590017

João Nicolau

Publication date: 17 September 2010

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.500107

zbMATH Keywords

stochastic differential equationssimulated maximum likelihood estimatorconditional moments estimationtime-inhomogeneous diffusions

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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Uses Software

• sde

Cites Work

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