[PDF] Top 20 Maximum likelihood estimation for stochastic processes - a martingale approach
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Maximum likelihood estimation for stochastic processes - a martingale approach
... for processes which have continuous sample paths, it may be a very good approximation to act as if the process was being observed ...time processes are limits of related discrete time processes so ... See full document
228
Unified quasi maximum likelihood estimation theory for stable and unstable Markov bilinear processes
... uni…ed estimation theory, strict stationarity testing for the SM BL equation is ...nonstationary stochastic unit root case, the QM LE is still consistent when (1:2) is appropriately ... See full document
31
Maximum likelihood estimation for stochastic Lotka–Volterra model with jumps
... popular approach to model population dynamics perturbed by random environment, has recently been studied by many authors both from a mathematical perspective and in the context of real biologi- cal ... See full document
22
Modelling stochastic volatility with leverage and jumps: a simulated maximum likelihood approach via particle filtering
... the stochastic volatility literature was made by Harvey and Shephard ...Quasi Maximum Likelihood (QML) technique used in parameter estimation in standard SV models (see Harvey et ...QML ... See full document
29
A simple approach to maximum intractable likelihood estimation
... the likelihood function, even up to a normalising constant, is impossible or computationally ...and stochastic dynamical systems pro- vide numerous examples of this (see ...Composite Likelihood ... See full document
24
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
... Bayesian approach to the estimation of SV models using a Monte Carlo Markov chain (MCMC) technique was developed by Jacquier et ...MM estimation techniques across a wide range of parameter ... See full document
31
Maximum likelihood estimation of a stochastic frontier model with residual covariance
... the maximum likelihood approach for estimating a stochastic production frontier ...the maximum likelihood estimation procedure suggested in Cliff and Ord (1973) and ... See full document
12
Variable bandwidth local maximum likelihood type estimation for diffusion processes
... robust approach is applied to estimate drift function and diffusion function of diffusion processes with discrete-time ...and maximum likelihood type estimation technique, so the ... See full document
21
Simulated maximum likelihood for general stochastic volatility models: a change of variable approach
... Maximum likelihood has proved to be a valuable tool for fitting the log-normal stochastic volatility model to financial returns time ...general stochastic volatility models into a form ... See full document
24
Estimation of Technical and Allocative Inefficiencies in a Cost System: An Exact Maximum Likelihood Approach
... the stochastic frontier literature there are two approaches to estimate a system and obtain measures of increased cost due to technical and allocative efficiencies under the behavioral assumption of cost ...system ... See full document
32
Parameter estimation for the stochastic SIS epidemic model
... parameter estimation in stochastic differential equations (SDEs) is a non-trivial problem [2, ...to estimation im- possible to ...parameter estimation methods for continuous time ...between ... See full document
26
Maximum likelihood estimation for multiscale Ornstein Uhlenbeck processes
... A necessary step in statistical modelling is to fit the chosen model to the data by in- ferring the value of the unknown parameters. In the case of stochastic differential equations (SDE), this is a well studied ... See full document
28
On the Approximate Maximum Likelihood Estimation for Diffusion Processes
... multivariate processes in A¨ıt-Sahalia ...approximate likelihood functions, which are maximized to obtain the approximate maximum likelihood estimators ...approximate likelihood ... See full document
39
Method of Maximum Likelihood Estimation of Optimal Number of Factors: An Information Criteria Approach
... complex and diverse relationships that exist among a set of observed variables by uncovering common dimensions or factors that link together the seemingly unrelated variables and consequently provides insight into the ... See full document
11
Maximum Likelihood Estimation of Feature Based Distributions
... Finally, we compare this proposal with Hayes and Wilson (2008). Essentially, the model here represents a “bottom-up” approach whereas theirs is “top-down.” “Top-down” models, which con- sider every set of features ... See full document
10
Maximum likelihood estimation of variance components
... the estimation of variance components has been a rich source of research problems over the last ...which estimation method is to be preferred in a particular ... See full document
76
Lists in a Lighthouse
... The command firthglm can be applied to any generalized linear model and canonical link supported by Stata's glm command using penalized log-likelihood. We illustrate another model using data provided by Dr. José ... See full document
101
Maximum likelihood approach to DoA estimation using lens antenna array
... selection approach has received much attention [12, ...power approach can be tailored to choose an antennas which have the maximum power and its two nearby ... See full document
7
Maximum likelihood estimation of population parameters.
... Under the assumptions that sequences are infinitely long and that the scaled coalescent times can be estimated without error, FELSENSTEIN (1992) showed that the improvement [r] ... See full document
10
Estimation in Interacting Diffusions: Continuous and Discrete Sampling
... approximate maximum likelihood esti- mator of the drift coefficient of an interacting particles of diffusions are ...approximate maximum likelihood estimator, dis- crete observations are taken ... See full document
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