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
Full text not available from this repository.
Official URL: http://www.informaworld.com/smpp/content~db=all~co...
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 |
Repository Staff Only: item control page
