کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417755 681565 2010 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Efficient importance sampling maximum likelihood estimation of stochastic differential equations
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Efficient importance sampling maximum likelihood estimation of stochastic differential equations
چکیده انگلیسی

Maximum likelihood estimation (MLE) of stochastic differential equations (SDEs) is difficult because in general the transition density function of these processes is not known in closed form, and has to be approximated somehow. An approximation based on efficient importance sampling (EIS) is detailed. Monte Carlo experiments, based on widely used diffusion processes, evaluate its performance against an alternative importance sampling (IS) strategy, showing that EIS is at least equivalent, if not superior, while allowing a greater flexibility needed when examining more complicated models.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 54, Issue 11, 1 November 2010, Pages 2753–2762
نویسندگان
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