Parameter estimation for multivariate diffusion processes with the time inhomogeneously positive semidefinite diffusion matrix

2016 ◽  
Vol 46 (22) ◽  
pp. 11010-11025 ◽  
Author(s):  
Xiu-Li Du ◽  
Jin-Guan Lin ◽  
Xiu-Qing Zhou
Keyword(s):  
Parameter Estimation ◽  
Diffusion Processes ◽  
Positive Semidefinite ◽  
Diffusion Matrix

On effects of discretization on estimators of drift parameters for diffusion processes

1996 ◽  
Vol 33 (04) ◽  
pp. 1061-1076 ◽  
Author(s):  
P. E. Kloeden ◽  
E. Platen ◽  
H. Schurz ◽  
M. Sørensen
Keyword(s):  
Parameter Estimation ◽  
Maximum Likelihood ◽  
Numerical Methods ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Discrete Time ◽  
Diffusion Processes ◽  
Maximum Likelihood Estimators ◽  
Statistical Properties ◽  
Stochastic Integrals

In this paper statistical properties of estimators of drift parameters for diffusion processes are studied by modern numerical methods for stochastic differential equations. This is a particularly useful method for discrete time samples, where estimators can be constructed by making discrete time approximations to the stochastic integrals appearing in the maximum likelihood estimators for continuously observed diffusions. A review is given of the necessary theory for parameter estimation for diffusion processes and for simulation of diffusion processes. Three examples are studied.

scholarly journals A Multiresolution Method for Parameter Estimation of Diffusion Processes

2012 ◽  
Vol 107 (500) ◽  
pp. 1558-1574 ◽  
Author(s):  
S. C. Kou ◽  
Benjamin P. Olding ◽  
Martin Lysy ◽  
Jun S. Liu
Keyword(s):  
Parameter Estimation ◽  
Diffusion Processes
Sign in / Sign up

Export Citation Format

Share Document