Arbeitspapier
Efficient importance sampling maximum likelihood estimation of stochastic differential equations
This paper considers ML estimation of a diffusion process observed discretely. Since the exact loglikelihood is generally not available, it must be approximated. We review the most effcient approaches in the literature, and point to some drawbacks. We propose to approximate the loglikelihood using the EIS strategy (Richard and Zhang, 1998), and detail its implementation for univariate homogeneous processes. Some Monte Carlo experiments evaluate its performance against an alternative IS strategy (Durham and Gallant, 2002), showing that EIS is at least equivalent, if not superior, while allowing a greater exibility needed when examining more complicated models.
- Sprache
-
Englisch
- Erschienen in
-
Series: Quaderni di Dipartimento - EPMQ ; No. 171
- Klassifikation
-
Wirtschaft
Estimation: General
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Diffusion process
Stochastic differential equation
Transition density
Importance sampling
Simulated maximum likelihood
Statistische Verteilung
Maximum-Likelihood-Methode
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Pastorello, Sergio
Rossi, Eduardo
- Ereignis
-
Veröffentlichung
- (wer)
-
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
- (wo)
-
Pavia
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Pastorello, Sergio
- Rossi, Eduardo
- Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
Entstanden
- 2004
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