Simulated Maximum Likelihood Estimation for Latent Diffusion Models
In this paper a method is developed and implemented to provide the simulated maximum likelihood estimation of latent diffusions based on discrete data. The method is applicable to diffusions that either have latent elements in the state vector or are only observed at discrete time with a noise. Late...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1310 https://ink.library.smu.edu.sg/context/soe_research/article/2309/viewcontent/sml_garchdiffusion01_10_2011.pdf |
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| Institution: | Singapore Management University |
| Language: | English |