Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations

By Aubrey Hurn, J. Jeisman, Kenneth P. Lindsay. 2006

126 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/0c3e35e9af4f53ba357ebe0f8838b62bd590a62d

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Citations in the corpus

Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “2008).3 A specialization 1Various other approaches for parameter estimation for discretely observed Markov processes can be found in the literature (excellent comprehensive surveys are for example in Hurn et al., 2007; Sørensen, 2004; A¨ıt-Sahalia, 2007). The approaches range from likelihood approxi”
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey (2009, methodology): “His approach has been compared to alternative methods by Jensen and Poulsen (2002). Hurn et al.”
Hermite Polynomial Based Expansion of European Option Prices (2014, unknown): “Ingersoll (1997) proposes such a model for foreign exchange futures.”
AReS and MaRS - Adversarial and MMD-Minimizing Regression for SDEs (2019, background): “(2000) and Hurn et al. (2007) provide extensive explanations of the more traditional approaches.”
Stochastic Normalizing Flows (2020, methodology): “Furthermore, the method cannot be justiﬁably combined with existing approaches of density estimation for SDEs (see Hurn et al. (2007)).”
Nonparametric Transition-Based Tests for Jump Diffusions (2009, unknown): “asymptotic scheme assumptions are such that this error is always smaller than the sampling error introduced by estimation of p. As a practical matter, Jensen and Poulsen (2002), Stramer and Yan (2007), and Hurn, Jeisman, and Lindsay (2007) conducted extensive comparisons of different techniques fo”
Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013, background): “, Basawa and Prakasa Rao [13]); many others focused on direct approximation of likelihood functions (transition densities) for discretely monitored data, see surveys in, for example, Phillips and Yu [56], Jensen and Poulsen [36], Hurn, Jeisman and Lindsay [34] and the references therein.”