Related papers: Drift Estimation for Discretely Sampled SPDEs
This paper deals with the drift estimation in linear stochastic evolution equations (with emphasis on linear SPDEs) with additive fractional noise (with Hurst index ranging from 0 to 1) via least-squares procedure. Since the least-squares…
We study approximate maximum likelihood estimators (MLEs) for the parameters of the widely used Heston stock and volatility stochastic differential equations (SDEs). We compute explicit closed form estimators maximizing the discretized…
In this paper we study the problem of estimating the drift/viscosity coefficient for a large class of linear, parabolic stochastic partial differential equations (SPDEs) driven by an additive space-time noise. We propose a new class of…
We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and negative axis, yet discontinuous at zero. This threshold…
We study asymptotic behavior of maximum likelihood estimator for a time inhomogeneous diffusion process given by a SDE $dX_t=\alpha b(t)X_t dt + \sigma(t) dB_t$, $t\in[0,T)$, with a parameter $\alpha\in R$, where $T\in(0,\infty]$ and…
We study parameter estimation for univariate stochastic differential equations with locally Lipschitz drift and H\"older continuous multiplicative diffusion, a class commonly arising in several applications. Existing inference methods…
Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to calculate in practice. A more general class…
Markov regime switching models have been widely used in numerous empirical applications in economics and finance. However, the asymptotic distribution of the maximum likelihood estimator (MLE) has not been proven for some empirically…
This paper investigates the asymptotic distribution of the maximum-likelihood estimate (MLE) in multinomial logistic models in the high-dimensional regime where dimension and sample size are of the same order. While classical large-sample…
We consider a jump-type Cox--Ingersoll--Ross (CIR) process driven by a standard Wiener process and a subordinator, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate. We distinguish three cases:…
The paper studies large sample asymptotic properties of the Maximum Likelihood Estimator (MLE) for the parameter of a continuous time Markov chain, observed in white noise. Using the method of weak convergence of likelihoods due to…
The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. A\"{\i}t-Sahalia [J. Finance 54 (1999)…
The problem of estimating a parameter in the drift coefficient is addressed for $N$ discretely observed independent and identically distributed stochastic differential equations (SDEs). This is done considering additional constraints,…
We consider the problem of estimating the distribution function, the density and the hazard rate of the (unobservable) event time in the current status model. A well studied and natural nonparametric estimator for the distribution function…
In this paper, we consider stochastic versions of three classical growth models given by ordinary differential equations (ODEs). Indeed we use stochastic versions of Von Bertalanffy, Gompertz, and Logistic differential equations as models.…
We address numerical differentiation under coarse, non-uniform sampling and Gaussian noise. A maximum-likelihood estimator with $L_2$-norm constraint on a higher-order derivative is obtained, yielding spline-based solution. We introduce a…
We consider drift parameter estimation in a model driven by the sum of two independent fractional Brownian motions with different Hurst indices. Although the maximum likelihood estimator (MLE) for this model is known theoretically, its…
Maximum likelihood estimation (MLE) of latent variable models is often recast as the minimization of a free energy functional over an extended space of parameters and probability distributions. This perspective was recently combined with…
This paper deals with the problem of inference associated with linear fractional diffusion process with random effects in the drift. In particular we are concerned with the maximum likelihood estimators (MLE) of the random effect…
In this paper we are interested in the Maximum Likelihood Estimator (MLE) of the vector parameter of an autoregressive process of order $p$ with regular stationary Gaussian noise. We exhibit the large sample asymptotical properties of the…