Estimating the parameters of stochastic differential equations
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- Isambi Mbalawata & Simo Särkkä & Heikki Haario, 2013. "Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering," Computational Statistics, Springer, vol. 28(3), pages 1195-1223, June.
- A. Hurn & J. Jeisman & K. Lindsay, 2007. "Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation," NCER Working Paper Series 9, National Centre for Econometric Research.
- Kathleen Goffey & Andrew Worthington, 2002. "Motor Vehicle Usage Patterns in Australia: A Comparative Analysis of Driver, Vehicle & Purpose Characteristics for Household & Freight Travel," School of Economics and Finance Discussion Papers and Working Papers Series 117, School of Economics and Finance, Queensland University of Technology.
- Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation," Stan Hurn Discussion Papers 2006-01, School of Economics and Finance, Queensland University of Technology.
- Brandt, Michael W. & Santa-Clara, Pedro, 2002.
"Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets,"
Journal of Financial Economics, Elsevier, vol. 63(2), pages 161-210, February.
- Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc.
- A. S. Hurn & J. I. Jeisman & K. A. Lindsay, 0.
"Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations,"
Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 390-455.
- Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology.
- Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series 2, National Centre for Econometric Research.
- Tang, Sanyi & Heron, Elizabeth A., 2008. "Bayesian inference for a stochastic logistic model with switching points," Ecological Modelling, Elsevier, vol. 219(1), pages 153-169.
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Keywords
Maximum likelihood; Transitional density; Kernel; Kolmogorov equation; Spectral integration; Interest rates;All these keywords.
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