A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

Stan Hurn; K. A. Lindsay; Andrew McClelland

doi:10.1016/j.jeconom.2012.09.002

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A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

Stan Hurn K. A. Lindsay Andrew McClelland

Year: 2012 Journal: Journal of Econometrics Vol: 172 (1)Pages: 106-126 Publisher: Elsevier BV

DOI: 10.1016/j.jeconom.2012.09.002

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Keywords:

Mathematics Multivariate statistics Applied mathematics Density estimation Gaussian Affine transformation Method of moments (probability theory) Estimation theory Maximum likelihood Diffusion Maximum likelihood sequence estimation Nonlinear system Probability density function Multivariate normal distribution Statistics Statistical physics Physics Estimator

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A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

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