Coupling the SAEM algorithm and the extended Kalman filter for maximum likelihood estimation in mixed-effects diffusion models

Maud Delattre; Marc Lavielle

doi:10.4310/sii.2013.v6.n4.a10

Coupling the SAEM algorithm and the extended Kalman filter for maximum likelihood estimation in mixed-effects diffusion models

Statistics and Its Interface ◽

10.4310/sii.2013.v6.n4.a10 ◽

2013 ◽

Vol 6 (4) ◽

pp. 519-532 ◽

Cited By ~ 12

Author(s):

Maud Delattre ◽

Marc Lavielle

Keyword(s):

Kalman Filter ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Extended Kalman Filter ◽

Likelihood Estimation ◽

Mixed Effects ◽

Diffusion Models ◽

Saem Algorithm

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An improved SAEM algorithm for maximum likelihood estimation in mixtures of non linear mixed effects models

Statistics and Computing ◽

10.1007/s11222-013-9396-2 ◽

2013 ◽

Vol 24 (5) ◽

pp. 693-707 ◽

Cited By ~ 9

Author(s):

Marc Lavielle ◽

Cyprien Mbogning

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Mixed Effects ◽

Mixed Effects Models ◽

Linear Mixed Effects Models ◽

Linear Mixed Effects ◽

Saem Algorithm ◽

Non Linear

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Efficient Computation of the Continuous-Discrete Extended Kalman Filter Sensitivities Applied to Maximum Likelihood Estimation

2019 IEEE 58th Conference on Decision and Control (CDC) ◽

10.1109/cdc40024.2019.9029672 ◽

2019 ◽

Author(s):

Dimitri Boiroux ◽

Tobias K. S. Ritschel ◽

Niels Kjolstad Poulsen ◽

Henrik Madsen ◽

John Bagterp Jorgensen

Keyword(s):

Kalman Filter ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Extended Kalman Filter ◽

Likelihood Estimation ◽

Efficient Computation

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Information theory for maximum likelihood estimation of diffusion models

Journal of Econometrics ◽

10.1016/j.jeconom.2015.10.002 ◽

2016 ◽

Vol 191 (1) ◽

pp. 110-128

Author(s):

Hwan-sik Choi

Keyword(s):

Information Theory ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Diffusion Models

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Maximum likelihood estimation of stock volatility using jump-diffusion models

Cogent Economics & Finance ◽

10.1080/23322039.2019.1582318 ◽

2019 ◽

Vol 7 (1) ◽

pp. 1582318

Author(s):

Nixon S. Chekenya ◽

Maggie Chen

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Diffusion Models ◽

Stock Volatility

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MLEMVD: A R Package for Maximum Likelihood Estimation of Multivariate Diffusion Models

SSRN Electronic Journal ◽

10.2139/ssrn.2944341 ◽

2017 ◽

Author(s):

Matthew Francis Dixon ◽

Tao L. Wu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

R Package ◽

Diffusion Models

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Three dimentional acoustic source location estimation with maximum likelihood estimation using Kalman filter

2010 IEEE 18th Signal Processing and Communications Applications Conference ◽

10.1109/siu.2010.5651459 ◽

2010 ◽

Author(s):

Serap Cekli ◽

Cengiz Polat Uzunoglu

Keyword(s):

Kalman Filter ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Source Location ◽

Location Estimation ◽

Acoustic Source

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Multinomial maximum likelihood estimation of market parameters for stock jump-diffusion models

Contemporary Mathematics - Mathematics of Finance ◽

10.1090/conm/351/06400 ◽

2004 ◽

pp. 155-169 ◽

Cited By ~ 12

Author(s):

Floyd B. Hanson ◽

John J. Westman ◽

Zongwu Zhu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Jump Diffusion ◽

Diffusion Models

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Maximum likelihood estimation in discrete mixed hidden Markov models using the SAEM algorithm

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2011.12.017 ◽

2012 ◽

Vol 56 (6) ◽

pp. 2073-2085 ◽

Cited By ~ 4

Author(s):

M. Delattre ◽

M. Lavielle

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Hidden Markov Models ◽

Markov Models ◽

Hidden Markov ◽

Likelihood Estimation ◽

Saem Algorithm

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Maximum likelihood estimation of partially observed diffusion models

Journal of Econometrics ◽

10.1016/j.jeconom.2014.02.002 ◽

2014 ◽

Vol 180 (1) ◽

pp. 73-80 ◽

Cited By ~ 3

Author(s):

Tore Selland Kleppe ◽

Jun Yu ◽

Hans J. Skaug

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Diffusion Models ◽

Partially Observed

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Adaptive Unscented Kalman Filter using Maximum Likelihood Estimation * *This work is funded by the Danish Diabetes Academy supported by the Novo Nordisk Foundation.

IFAC-PapersOnLine ◽

10.1016/j.ifacol.2017.08.356 ◽

2017 ◽

Vol 50 (1) ◽

pp. 3859-3864 ◽

Cited By ~ 3

Author(s):

Zeinab Mahmoudi ◽

Niels Kjølstad Poulsen ◽

Henrik Madsen ◽

John Bagterp Jørgensen

Keyword(s):

Kalman Filter ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unscented Kalman Filter ◽

Likelihood Estimation ◽

Adaptive Unscented Kalman Filter

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