Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations.
Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a large n...
| Publicado en: | Journal of Financial Econometrics Vol. 5; no. 3; pp. 390 - 456 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Oxford University Press / UK
Summer 2007
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511339978&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511339978 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 14798409 T2Y jtl: Journal of Financial Econometrics issn: 14798409 maglogo: N pubinfo: dt: Summer 2007 vid: 5 iid: 3 pid: 622 pub: Oxford University Press / UK artinfo: ui: 511339978 10.1093/jjfinec/nbm009 ppf: 390 ppct: 66 formats: tig: atl: Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. aug: au: Hurn, A. S. Jeisman, J. I. Lindsay, K. A. su: Stochastic processes Differential equations Parameter estimation sug: subj: Stochastic processes Differential equations Parameter estimation ab: Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a large number of competing estimation procedures have been proposed. This article provides a critical evaluation of the various estimation techniques. Special attention is given to the ease of implementation and comparative performance of the procedures when estimating the parameters of the Cox-Ingersoll-Ross and Ornstein-Uhlenbeck equations respectively. Reprinted by permission of the publisher. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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