Maximum likelihood estimation of diffusions by continuous time Markov chain

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2021.107408 ◽

2021 ◽

pp. 107408

Author(s):

J.L. Kirkby ◽

Dang H. Nguyen ◽

Duy Nguyen ◽

Nhu N. Nguyen

Keyword(s):

Markov Chain ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation ◽

Continuous Time Markov Chain

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Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

Electronic Journal of Statistics ◽

10.1214/19-ejs1636 ◽

2019 ◽

Vol 13 (2) ◽

pp. 5151-5212 ◽

Author(s):

Vicky Fasen-Hartmann ◽

Markus Scholz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Continuous Time ◽

Likelihood Estimation ◽

State Space Models ◽

Low Frequencies ◽

Quasi Maximum Likelihood ◽

Linear State ◽

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Maximum Likelihood Estimation of the Markov Chain Model with Macro Data and the Ecological Inference Model

SSRN Electronic Journal ◽

10.2139/ssrn.2735376 ◽

2014 ◽

Author(s):

Arie Ten Cate

Keyword(s):

Markov Chain ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Markov Chain Model ◽

Likelihood Estimation ◽

Chain Model ◽

Ecological Inference ◽

Inference Model

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On Maximum Likelihood Estimation of Continuous-Time Oscillators Modelled as Continuous-Time Autoregressive System

IEEE Latin America Transactions ◽

10.1109/tla.2019.8931211 ◽

2019 ◽

Vol 17 (07) ◽

pp. 1214-1219

Author(s):

Maria Coronel ◽

Karen Gonzalez ◽

Pedro Escarate ◽

Rodrigo Carvajal ◽

Juan Carlos Aguero

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation

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Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model

Journal of Time Series Analysis ◽

10.1111/jtsa.12499 ◽

2019 ◽

Vol 41 (2) ◽

pp. 357-364

Author(s):

Emma M. Iglesias ◽

Garry D. A. Phillips

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation ◽

Continuous Time Model ◽

Constant Elasticity ◽

Constant Elasticity Of Variance ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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Maximum Likelihood Estimation of LTI Continuous-Time Grey-box Models

IFAC Proceedings Volumes ◽

10.3182/20140824-6-za-1003.02269 ◽

2014 ◽

Vol 47 (3) ◽

pp. 3739-3744 ◽

Author(s):

Jiří Řehoř ◽

Vladimír Havlena

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation ◽

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Maximum likelihood estimation for spatial models by Markov chain Monte Carlo stochastic approximation

Journal of the Royal Statistical Society Series B (Statistical Methodology) ◽

10.1111/1467-9868.00289 ◽

2001 ◽

Vol 63 (2) ◽

pp. 339-355 ◽

Author(s):

Ming Gao Gu ◽

Hong-Tu Zhu

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Markov Chain Monte Carlo ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Approximation ◽

Spatial Models ◽

Likelihood Estimation

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Quasi-Maximum Likelihood Estimation for a Class of Continuous-time Long-memory Processes

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2005.00422.x ◽

2005 ◽

Vol 26 (5) ◽

pp. 691-713 ◽

Author(s):

Henghsiu Tsai ◽

K. S. Chan

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Long Memory ◽

Likelihood Estimation ◽

Memory Processes ◽

Long Memory Processes ◽

Quasi Maximum Likelihood

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Maximum Likelihood Estimation of Non-Linear Continuous-Time Term-Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.7669 ◽

1996 ◽

Author(s):

Peter Honore

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Term Structure ◽

Continuous Time ◽

Likelihood Estimation ◽

Term Structure Models ◽

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Fast maximum likelihood estimation using continuous-time neural point process models

Journal of Computational Neuroscience ◽

10.1007/s10827-015-0551-y ◽

2015 ◽

Vol 38 (3) ◽

pp. 499-519

Author(s):

Kyle Q. Lepage ◽

Christopher J. MacDonald

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Point Process ◽

Continuous Time ◽

Likelihood Estimation ◽

Process Models ◽

Point Process Models

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Maximum likelihood estimation of linear continuous time long memory processes with discrete time data

Journal of the Royal Statistical Society Series B (Statistical Methodology) ◽

10.1111/j.1467-9868.2005.00522.x ◽

2005 ◽

Vol 67 (5) ◽

pp. 703-716 ◽

Author(s):

Henghsiu Tsai ◽

K. S. Chan

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Discrete Time ◽

Continuous Time ◽

Long Memory ◽

Likelihood Estimation ◽

Time Data ◽

Memory Processes ◽

Long Memory Processes

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