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.
Impact and interest:
Citation counts are sourced monthly from and citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
|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|
|Last Modified:||23 Sep 2013 06:35|
Repository Staff Only: item control page