Maximum Likelihood Estimation of Drift and Diffusion Functions
Data Analysis, Statistics and Probability
2009-11-13 v2 Statistical Finance
Abstract
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics Letters A (346), 2005] and put the application of the method on a firm theoretical basis.
Cite
@article{arxiv.physics/0611102,
title = {Maximum Likelihood Estimation of Drift and Diffusion Functions},
author = {D. Kleinhans and R. Friedrich},
journal= {arXiv preprint arXiv:physics/0611102},
year = {2009}
}
Comments
5 pages, 2 figures