Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes

Keyphrases

• Continuous-time 100%
• Maximum Likelihood Estimation 100%
• Numerical Techniques 100%
• Diffusion Process 100%
• Short-term Interest Rate 100%
• Likelihood Function 50%
• Estimation Model 50%
• Financial Data 50%
• Stochastic Differential Equations 50%
• Maximum Likelihood 50%
• Economic Data 50%
• Stochastic Volatility Model 50%
• Computational Effort 50%
• Synthetic Data 50%
• Latent Variable Models 50%
• Maximum Likelihood Estimator 50%
• Parameter Setting 50%
• Transition Density 50%
• Simulation-based Approach 50%
• Multivariate Setting 50%

Mathematics

• Approximates 100%
• Diffusion Process 100%
• Continuous Time 100%
• Numerical Technique 100%
• Maximum Likelihood 100%
• Likelihood Function 50%
• Synthetic Data 50%
• Great Deal 50%
• Maximum Likelihood Estimator 50%
• Maximum Likelihood 50%
• Computational Effort 50%
• Stochastic Differential Equation 50%
• Latent Variable Model 50%
• Transition Density 50%