Maximum-likelihood estimation for diffusion processes via closed-form density expansions

13 August 2013

Papers citing "Maximum-likelihood estimation for diffusion processes via closed-form density expansions"

11 / 11 papers shown

Title
Closed-form approximations of moments and densities of continuous-time Markov models Dennis Kristensen Young Jun Lee A. Melé 25 0 0 17 Aug 2023
Unbiased likelihood estimation of Wright-Fisher diffusion processes Celia García-Pareja F. Nobile 122 0 0 08 Mar 2023
Parameter Estimation in Nonlinear Multivariate Stochastic Differential Equations Based on Splitting Schemes Predrag Pilipovic Adeline M. M. Samson Susanne Ditlevsen 66 6 0 21 Nov 2022
Parametric estimation of stochastic differential equations via online gradient descent Shogo H. Nakakita 57 2 0 17 Oct 2022
Maximum Likelihood Estimation of Diffusions by Continuous Time Markov Chain J. Kirkby N. H. Dang D. Nguyen N. Nguyen 18 12 0 28 Aug 2021
Pseudo-marginal Inference for CTMCs on Infinite Spaces via Monotonic Likelihood Approximations Miguel Biron-Lattes Alexandre Bouchard-Côté Trevor Campbell 128 2 0 28 May 2021
Asymptotic expansion of a variation with anticipative weights Nakahiro Yoshida 28 4 0 31 Dec 2020
Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations Yaozhong Hu Yuejuan Xi 15 12 0 21 Nov 2020
Robust test for dispersion parameter change in discretely observed diffusion processes Junmo Song 23 11 0 28 Jun 2019
Empirical $L^2$ -distance test statistics for ergodic diffusions A. De Gregorio S. Iacus 57 4 0 15 Jan 2018
Efficient estimation for diffusions sampled at high frequency over a fixed time interval N. Jakobsen Michael Sørensen 24 18 0 24 Jul 2015