Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds

L. Fatone; F. Mariani; M. C. Recchioni; F. Zirilli

doi:10.1515/jiip.2007.028

Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds

Journal of Inverse and Ill-Posed Problems ◽

10.1515/jiip.2007.028 ◽

2007 ◽

Vol 15 (5) ◽

Cited By ~ 5

Author(s):

L. Fatone ◽

F. Mariani ◽

M. C. Recchioni ◽

F. Zirilli

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Hedge Funds ◽

Likelihood Estimation

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Maximum likelihood estimation for stochastic differential equations with two random effects in the diffusion coefficient

Applied Mathematical Sciences ◽

10.12988/ams.2015.59575 ◽

2015 ◽

Keyword(s):

Diffusion Coefficient ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Random Effects ◽

Likelihood Estimation

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Maximum likelihood estimation in Skorohod stochastic differential equations

Proceedings of the American Mathematical Society ◽

10.1090/s0002-9939-09-10113-2 ◽

2010 ◽

Vol 138 (04) ◽

pp. 1471-1471 ◽

Cited By ~ 4

Author(s):

Jaya P. N. Bishwal

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Likelihood Estimation

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Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion

Applied Mathematics and Computation ◽

10.1016/j.amc.2020.125927 ◽

2021 ◽

Vol 397 ◽

pp. 125927

Author(s):

Min Dai ◽

Jinqiao Duan ◽

Junjun Liao ◽

Xiangjun Wang

Keyword(s):

Brownian Motion ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Fractional Brownian Motion ◽

Random Effects ◽

Likelihood Estimation

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Efficient importance sampling maximum likelihood estimation of stochastic differential equations

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2010.02.001 ◽

2010 ◽

Vol 54 (11) ◽

pp. 2753-2762 ◽

Cited By ~ 6

Author(s):

S. Pastorello ◽

E. Rossi

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Importance Sampling ◽

Likelihood Estimation

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Maximum Likelihood Estimation for Stochastic Differential Equations Using Sequential Gaussian-Process-Based Optimization

Technometrics ◽

10.1080/00401706.2016.1153522 ◽

2017 ◽

Vol 59 (2) ◽

pp. 178-188 ◽

Cited By ~ 2

Author(s):

Grant Schneider ◽

Peter F. Craigmile ◽

Radu Herbei

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Gaussian Process ◽

Stochastic Differential Equations ◽

Likelihood Estimation

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Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1980048 ◽

2021 ◽

pp. 1-9

Author(s):

B. L. S. Prakasa Rao

Keyword(s):

Brownian Motion ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Fractional Brownian Motion ◽

Random Effects ◽

Likelihood Estimation ◽

Mixed Fractional Brownian Motion

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Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects

Scandinavian Journal of Statistics ◽

10.1111/j.1467-9469.2012.00813.x ◽

2012 ◽

Vol 40 (2) ◽

pp. 322-343 ◽

Cited By ~ 16

Author(s):

MAUD DELATTRE ◽

VALENTINE GENON-CATALOT ◽

ADELINE SAMSON

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Random Effects ◽

Likelihood Estimation

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Approximate maximum likelihood estimation for stochastic differential equations with random effects in the drift and the diffusion

Metrika ◽

10.1007/s00184-018-0666-z ◽

2018 ◽

Vol 81 (8) ◽

pp. 953-983

Author(s):

Maud Delattre ◽

Valentine Genon-Catalot ◽

Catherine Larédo

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Random Effects ◽

Likelihood Estimation ◽

Approximate Maximum Likelihood

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SEQUENTIAL SAMPLING AND MAXIMUM LIKELIHOOD ESTIMATION

Communications in Statistics - Simulation and Computation ◽

10.1080/03610917308548240 ◽

1973 ◽

Vol 1 (6) ◽

pp. 567-568

Author(s):

R. L. Sielken

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Sequential Sampling ◽

Likelihood Estimation

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Approximate Maximum Likelihood Estimation Using a 3D GNSS Simulator for Positioning in MP/NLOS Conditions

Proceedings of the 30th International Technical Meeting of The Satellite Division of the Institute of Navigation (ION GNSS+ 2017) ◽

10.33012/2017.15213 ◽

2017 ◽

Cited By ~ 2

Author(s):

Nabil Kbayer ◽

Mohamed Sahmoudi ◽

H�ctor Ortega ◽

C�dric Rouch

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Approximate Maximum Likelihood

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