Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/27578 |
Resumo: | We propose a method to estimate the transition density of a non-linear time-inhomogeneous diffusion. Expressing the transition density as a functional of a Brownian bridge, allows us to estimate the density through Monte Carlo simulations with any level of precision. We show how these transition density estimates can be effectively used to estimate the parameters of the time-inhomogeneous diffusion and the conditional moments of the process. In this paper we prove that our method is asymptotically equivalent to the maximum likelihood estimator and more reliable than the closed-form approximation approach largely used in the literature. |
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Transition density and simulated likelihood estimation for time-inhomogeneous diffusionsEstimation for Time-inhomogeneous DiffusionsWe propose a method to estimate the transition density of a non-linear time-inhomogeneous diffusion. Expressing the transition density as a functional of a Brownian bridge, allows us to estimate the density through Monte Carlo simulations with any level of precision. We show how these transition density estimates can be effectively used to estimate the parameters of the time-inhomogeneous diffusion and the conditional moments of the process. In this paper we prove that our method is asymptotically equivalent to the maximum likelihood estimator and more reliable than the closed-form approximation approach largely used in the literature.Taylor & Francis GroupRepositório da Universidade de LisboaNicolau, João2023-04-03T10:40:24Z20102010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27578engNicolau, João.(2010). "Transition density and simulated likelihood estimation for time-inhomogeneous diffusions." Communications in Statistics-Simulation and Computation, Vol. 39, No. 7 : pp. 1435-1454. (Search PDF in 2023).info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-09T01:32:13Zoai:www.repository.utl.pt:10400.5/27578Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:49:02.707434Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions |
title |
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions |
spellingShingle |
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions Nicolau, João Estimation for Time-inhomogeneous Diffusions |
title_short |
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions |
title_full |
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions |
title_fullStr |
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions |
title_full_unstemmed |
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions |
title_sort |
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions |
author |
Nicolau, João |
author_facet |
Nicolau, João |
author_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Nicolau, João |
dc.subject.por.fl_str_mv |
Estimation for Time-inhomogeneous Diffusions |
topic |
Estimation for Time-inhomogeneous Diffusions |
description |
We propose a method to estimate the transition density of a non-linear time-inhomogeneous diffusion. Expressing the transition density as a functional of a Brownian bridge, allows us to estimate the density through Monte Carlo simulations with any level of precision. We show how these transition density estimates can be effectively used to estimate the parameters of the time-inhomogeneous diffusion and the conditional moments of the process. In this paper we prove that our method is asymptotically equivalent to the maximum likelihood estimator and more reliable than the closed-form approximation approach largely used in the literature. |
publishDate |
2010 |
dc.date.none.fl_str_mv |
2010 2010-01-01T00:00:00Z 2023-04-03T10:40:24Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/27578 |
url |
http://hdl.handle.net/10400.5/27578 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Nicolau, João.(2010). "Transition density and simulated likelihood estimation for time-inhomogeneous diffusions." Communications in Statistics-Simulation and Computation, Vol. 39, No. 7 : pp. 1435-1454. (Search PDF in 2023). |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Taylor & Francis Group |
publisher.none.fl_str_mv |
Taylor & Francis Group |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131572077592576 |