Approximation of maximum likelihood estimator for diffusion processes from discrete observations

Mishra, M. N. ; Prakasa Rao, B. L. S. (2002) Approximation of maximum likelihood estimator for diffusion processes from discrete observations Stochastic Analysis and Applications, 20 (6). pp. 1309-1329. ISSN 0736-2994

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Related URL: http://dx.doi.org/10.1081/SAP-120015834

Abstract

This paper is concerned with the approximation of the maximum likelihood estimator of parameter in the nonlinear drift coefficient of an It O^ stochastic differential equation. Trapezoidal rule of approximation and rectangular rule of approximation have been compared when the observations are made at regularly spaced discrete but dense time points.

Item Type:Article
Source:Copyright of this article belongs to Taylor and Francis Group.
Keywords:Stochastic Differential Equation; Diffusion Process; Maximum Likelihood Estimator; Trapezoidal Rule Of Approximation; Rectangular Rule Of Approximation; Regularly Spaced Discrete Time Points
ID Code:37656
Deposited On:26 Apr 2011 12:45
Last Modified:26 Apr 2011 12:45

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