Maximum likelihood estimation of time-inhomogeneous diffusions
- Author
- EGOROV, Alexei V1 ; HAITAO LI2 ; YUEWU XU3
[1] Department of Economics, Cornell University, Ithaca, NY 14853, United States
[2] Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853, United States
[3] Yale School of Management, Yale University, New Haven, CT 06520, United States - Source
Journal of econometrics. 2003, Vol 114, Num 1, pp 107-139, 33 p ; ref : 1 p.3/4
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Keyword (fr)
- Convergence en probabilité Econométrie Estimation paramètre Finance Fonction vraisemblance Loi binomiale Maximum vraisemblance Méthode Monte Carlo Méthode statistique Polynôme Hermite Schéma Euler Densité transition Diffusion temps non homogène
- Keyword (en)
- Convergence in probability Econometrics Parameter estimation Finance Likelihood function Binomial distribution Maximum likelihood Monte Carlo method Statistical method Hermite polynomial Euler scheme Transition density Time inhomogeneous diffusion
- Keyword (es)
- Convergencia en probabilidad Econometría Estimación parámetro Finanza Función verosimilitud Distribución binomial Maxima verosimilitud Método Monte Carlo Método estadístico Polinomio Hermite Esquema Euler
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01J Markov processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02M Inference from stochastic processes; time series analysis
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 14657063
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/S0304-4076(02)00221-X 
https://dx.doi.org/10.1016/S0304-4076(02)00221-X
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