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

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

13 August 2013
Chenxu Li
ArXiv (abs)PDFHTML

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
Closed-form approximations of moments and densities of continuous-time Markov models
Dennis Kristensen
Young Jun Lee
A. Melé
26
0
0
17 Aug 2023
Unbiased likelihood estimation of Wright-Fisher diffusion processes
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
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
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
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
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
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
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
Robust test for dispersion parameter change in discretely observed diffusion processes
Junmo Song
25
11
0
28 Jun 2019
Empirical $L^2$-distance test statistics for ergodic diffusions
Empirical L2L^2L2-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
Efficient estimation for diffusions sampled at high frequency over a fixed time interval
N. Jakobsen
Michael Sørensen
24
18
0
24 Jul 2015
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