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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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