Efficient importance sampling maximum likelihood estimation of stochastic differential equations
暂无分享,去创建一个
[1] A. Gallant,et al. Which Moments to Match? , 1995, Econometric Theory.
[2] John Geweke,et al. Monte carlo simulation and numerical integration , 1995 .
[3] Campbell R. Harvey,et al. An Empirical Comparison of Alternative Models of the Short-Term Interest Rate , 1992 .
[4] Wei Zhang,et al. Simulation Estimation of Dynamic Discrete Choice Panel Models with Accelerated Importance Samplers , 2004 .
[5] Jean-François Richard,et al. Improving MCMC Using Efficient Importance Sampling , 2006, Comput. Stat. Data Anal..
[6] Yacine Aït-Sahalia. Transition Densities for Interest Rate and Other Nonlinear Diffusions , 1999 .
[7] T. Alderweireld,et al. A Theory for the Term Structure of Interest Rates , 2004, cond-mat/0405293.
[8] P. Glynn,et al. Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals , 2004 .
[9] Richard L. Smith. Estimating tails of probability distributions , 1987 .
[10] Bjørn Eraker. MCMC Analysis of Diffusion Models With Application to Finance , 2001 .
[11] Chung-Ming Kuan,et al. A New Test of the Martingale Difference Hypothesis , 2004 .
[12] Tohru Ozaki,et al. Estimation for nonlinear stochastic differential equations by a local linearization method 1 , 1998 .
[13] Roman Liesenfeld,et al. Time series of count data: modeling, estimation and diagnostics , 2006, Comput. Stat. Data Anal..
[14] Peter C. B. Phillips,et al. Fully Nonparametric Estimation of Scalar Diffusion Models , 2001 .
[15] A. Gallant,et al. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes , 2002 .
[16] Yacine Aït-Sahalia. Nonparametric Pricing of Interest Rate Derivative Securities , 1996 .
[17] J. Richard,et al. Efficient high-dimensional importance sampling , 2007 .
[18] J. Durbin,et al. Monte Carlo maximum likelihood estimation for non-Gaussian state space models , 1997 .
[19] A. Pedersen. A new approach to maximum likelihood estimation for stochastic differential equations based on discrete observations , 1995 .
[20] Yacine Aït-Sahalia. Nonparametric Pricing of Interest Rate Derivative Securities , 1995 .
[21] Siem Jan Koopman,et al. Testing the Assumptions Behind the use of Importance Sampling , 2002 .
[22] Siem Jan Koopman,et al. Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers , 2004 .
[23] D. Ahn,et al. A Parametric Nonlinear Model of Term Structure Dynamics , 1999 .
[24] N. Shephard,et al. Likelihood INference for Discretely Observed Non-linear Diffusions , 2001 .
[25] P. Kloeden,et al. Numerical Solutions of Stochastic Differential Equations , 1995 .
[26] Yacine Aït-Sahalia. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed‐form Approximation Approach , 2002 .
[27] Ola Elerian,et al. A note on the existence of a closed form conditional transition density for the Milstein scheme , 1998 .
[28] M. Pitt,et al. Likelihood analysis of non-Gaussian measurement time series , 1997 .
[29] A. Lo. Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data , 1986, Econometric Theory.
[30] Garland B. Durham. Likelihood-based specification analysis of continuous-time models of the short-term interest rate , 2003 .
[31] P. Kloeden,et al. Numerical Solution of Stochastic Differential Equations , 1992 .
[32] Yacine Ait-Sahalia,et al. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions , 2002 .
[33] Oldrich A. Vasicek. An equilibrium characterization of the term structure , 1977 .
[34] Richard Stanton. A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk , 1997 .
[35] Jean-Francois Richard,et al. Estimation of Dynamic Bivariate Mixture Models , 2003 .
[36] Drew D. Creal,et al. Testing the assumptions behind importance sampling , 2009 .
[37] L. Bauwens,et al. Econometrics , 2005 .
[38] Yacine Ait-Sahalia. Closed-Form Likelihood Expansions for Multivariate Diffusions , 2002, 0804.0758.
[39] Yacine Ait-Sahalia. Testing Continuous-Time Models of the Spot Interest Rate , 1995 .
[40] Michael W. Brandt,et al. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets , 2001 .
[41] Yacine Ait-Sahalia,et al. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions , 2002 .
[42] J. Richard,et al. Accelerated gaussian importance sampler with application to dynamic latent variable models , 1993 .
[43] Hans M. Amman,et al. Handbook of Computational Economics , 1996 .
[45] J. Richard,et al. Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics , 2003 .
[46] Xiongzhi Chen. Brownian Motion and Stochastic Calculus , 2008 .
[47] L. Bauwens,et al. Efficient importance sampling for ML estimation of SCD models , 2009, Comput. Stat. Data Anal..