Globally optimal parameter estimates for nonlinear diffusions

DOI10.1214/09-AOS710zbMath1181.62121arXiv0905.3321OpenAlexW3125234876MaRDI QIDQ847635

Aleksandar Mijatović, Paul Schneider

Publication date: 19 February 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.3321

zbMATH Keywords

global optimizationestimationEM algorithmmaximum likelihoodnonlinear diffusion

Mathematics Subject Classification ID

Cites Work

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• Smooth Transition Densities for One-Dimensional Diffusions
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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