On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential equations
Hurn, Stanley, Lindsay, Kenneth A., & Vance, Martin (2003) On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential equations. Journal of Time Series Analysis, 24(1), pp. 45-63.
A method for estimating the parameters of stochastic differential equations (SDEs) by simulated maximum likelihood is presented. This method is feasible whenever the underlying SDE is a Markov process. Estimates are compared to those generated by indirect inference, discrete and exact maximum likelihood. The technique is illustrated with reference to a one-factor model of the term structure of interest rates using 3-month US Treasury Bill data.
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|Item Type:||Journal Article|
|Additional Information:||For more information, please refer to the journal’s website (see hypertext link) or contact the author. Author contact details: firstname.lastname@example.org|
|Keywords:||Maximum likelihood, simulation, indirect inference, kernel, density estimation, term, structure models, C51, C52, G12|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2003 Blackwell Publishing|
|Copyright Statement:||The definitive version is available at www.blackwell-synergy.com|
|Deposited On:||02 Jul 2007 00:00|
|Last Modified:||23 Sep 2013 06:35|
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