Numerical simulation on maximum likelihood estimation of diffusion processes

被引：0
|
作者：
Wang, Jingyu [1 ,2 ]
Lai, Junfeng [1 ]
Yan, Zaizai [1 ]
机构：
[1] Science College, Inner Mongolia University of Technology, Hohhot, Inner Mongolia, China
[2] Science College, Qiqihaer University, Qiqihaer, Heilongjiang, China
来源：
Metallurgical and Mining Industry | 2015年 / 7卷 / 03期
关键词：
Differential equations - Numerical methods - Parameter estimation - Stochastic systems - Stochastic models - Diffusion;
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学科分类号：
摘要：
In this paper, we consider parametric estimation problem of a continuous type stochastic mathematical model (stochastic differential equation) in a wide engineering field. On analyzing the probability characteristics of process, the density function is determined by using Ito differential law. The maximum-likelihood estimating (MLE) algorithm of unknown parameter is obtained. The approximation is calculated by using numerical solution techniques for diffusion process. Finally, we consider three methods for solving the Cox-Ingersoll-Ross process as a numerical example. © Metallurgical and Mining Industry, 2015.
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页码：244 / 249
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