Simulated Maximum Likelihood Estimation for Latent Diffusion Models

• Main Authors: KLEPPE, Tore Selland, YU, Jun, SKAUG, Hans J.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2011
• Subjects: Closed-form approximation; Diffusion Model; Efficient importance sampler; Econometrics
• 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
• Institution: Singapore Management University

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...