A genetic estimation algorithm for parameters of stochastic ordinary differential equations

DOI10.1016/j.csda.2003.11.025zbMath1429.62362OpenAlexW2042356867MaRDI QIDQ957005

Jamie Alcock, Kevin Burrage

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2003.11.025

zbMATH Keywords

parameter estimationgenetic algorithmsstochastic ordinary differential equationsjump-diffusion equations

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Markov processes: estimation; hidden Markov models (62M05) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (6)

Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods ⋮ Novel techniques in parameter estimation for fractional dynamical models arising from biological systems ⋮ Applications of optimization heuristics to estimation and modelling problems ⋮ A genetic algorithm estimation of the term structure of interest rates ⋮ Annealing evolutionary stochastic approximation Monte Carlo for global optimization ⋮ Annealing evolutionary stochastic approximation Monte Carlo for global optimization

Uses Software

• GAToolBox
• FinTS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A global optimization heuristic for estimating agent based models
• The relative efficiency of method of moments estimators
• Estimation of the coefficients of a diffusion from discrete observations
• Estimation of an Ergodic Diffusion from Discrete Observations
• Estimating stochastic differential equations efficiently by minimum chi-squared
• Estimating the parameters of stochastic differential equations using a criterion function
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

This page was built for publication: A genetic estimation algorithm for parameters of stochastic ordinary differential equations