IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v22y2001i5p505-515.html
   My bibliography  Save this article

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

Author

Listed:
  • Eugene M. Cleur

Abstract

The problem of computing the maximum likelihood estimate of the parameters of a specific class of stochastic differential equation (SDE) models with linear drift whose sample paths are observed at discrete time points is considered. This estimate is obtained as in Cleur and Manfredi (1999) by discretizing the explicit expressions for the estimates which maximize the likelihood function in continuous time, by discretizing the likelihood function through a quadrature approximation before maximizing it, and by maximizing the likelihood function of the Euler scheme approximation to the underlying continuous process. Simulation results indicate that, for the constellation of parameter values considered, all three approaches lead to very similar results.

Suggested Citation

  • Eugene M. Cleur, 2001. "Maximum Likelihood Estimates of a Class of One‐Dimensional Stochastic Differential Equation Models From Discrete Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(5), pages 505-515, September.
    • Handle: RePEc:bla:jtsera:v:22:y:2001:i:5:p:505-515
    DOI: 10.1111/1467-9892.00238
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9892.00238
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9892.00238?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:22:y:2001:i:5:p:505-515. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.