Simulation and Inference for Stochastic Differential Equations: With R Examples

By S. Basov. 2010

205 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3f7bf198173fca66c31ac062f631e4526180dd89

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Idris Arthur Eckley
2. Michael SØrensen
3. A. Lindner
4. Mathieu Kessler
5. Rebecca Killick
6. Peter J. Brockwell
7. V. Todorov
8. David S. Matteson

In Finance

1. A. Lindner
2. Mathieu Kessler
3. Idris Arthur Eckley
4. Michael SØrensen
5. Rebecca Killick
6. Peter J. Brockwell
7. Richard A. Davis
8. Thomas Mikosch

In Management Science and Operations Research

1. Idris Arthur Eckley
2. Michael SØrensen
3. A. Lindner
4. Mathieu Kessler
5. Rebecca Killick

Citations in the corpus

• Statistical Methods for Stochastic Differential Equations (2012, methodology): “8 Implementation of martingale estimating functions An R-package, where a number of methods for calculating estimators for diffusion models are implemented, has been developed by Stefano Iacus and is described in the book Iacus (2008), which outlines the underlying theory too.”
• Applied Stochastic Differential Equations (2019, unknown): “Furthermore, some additional special cases of solvable SDEs can also be found, for example, in the books of Kloeden and Platen (1999) and Iacus (2008).”
• changepoint: An R Package for Changepoint Analysis (2014, background): “, sde (Iacus 2009), bcp (Erdman and Emerson 2007) and/or are designed for a”