Hurn, A.S., Lindsay, K.A. and Martin, V.L. (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. (doi: 10.1111/1467-9892.00292)
Full text not currently available from Enlighten.
Publisher's URL: http://dx.doi.org/10.1111/1467-9892.00292
Abstract
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.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Lindsay, Professor Kenneth |
| Authors: | Hurn, A.S., Lindsay, K.A., and Martin, V.L. |
| Subjects: | Q Science > QA Mathematics |
| College/School: | College of Science and Engineering > School of Mathematics and Statistics > Mathematics |
| Journal Name: | Journal of Time Series Analysis |
| ISSN: | 0143-9782 |
| ISSN (Online): | 1467-9892 |
| Published Online: | 21 February 2003 |
University Staff: Request a correction | Enlighten Editors: Update this record
Deposit and Record Details
Deposit and Record Details