Search Results - subject:"Diffusion bridge"

Maximum likelihood estimation for integrated diffusion processes

Baltazar-Larios, Fernando; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2010

We propose a method for obtaining maximum likelihood estimates of parameters in diffusion models when the data is a discrete time sample of the integral of the process, while no direct observations of the process itself are available. The data are, moreover, assumed to be contaminated by...

Persistent link: https://www.econbiz.de/10008462021

Simple simulation of diffusion bridges with application to likelihood inference for diffusions

Bladt, Mogens; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2010

bridge simulation methods is that the proposed method works well when the diffusion bridge is defined in a long interval … provides a very good approximation to the distribution of a diffusion bridge for bridges that are likely to occur in …

Persistent link: https://www.econbiz.de/10008462029