Approximate Likelihood Construction for Rough Differential Equations
Statistics Theory
2018-07-10 v2 Statistics Theory
Abstract
The paper is split in two parts: in the first part, we construct the exact likelihood for a discretely observed rough differential equation, driven by a piecewise linear path. In the second part, we use this likelihood in order to construct an approximation of the likelihood for a discretely observed differential equation driven by a general class of rough paths. Finally, we study the behaviour of the approximate likelihood when the sampling frequency tends to infinity.
Cite
@article{arxiv.1612.02536,
title = {Approximate Likelihood Construction for Rough Differential Equations},
author = {Anastasia Papavasiliou and Kasia B. Taylor},
journal= {arXiv preprint arXiv:1612.02536},
year = {2018}
}