Maximum likelihood estimation of drift and diffusion functions

被引：24

作者：

Kleinhans, David ^{[1
]}

Friedrich, Rudolf ^{[1
]}

机构：

[1] Univ Munster, D-48149 Munster, Germany

来源：

PHYSICS LETTERS A | 2007年 / 368卷 / 3-4期

关键词：

D O I：

10.1016/j.physleta.2007.03.082

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [D. Kleinhans, R. Friedrich, A. Nawroth, J. Peinke, Phys. Lett. A 346 (2005) 421 and put the application of the method on a firm theoretical basis. (c) 2007 Elsevier B.V. All rights reserved.

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页码：194 / 198

页数：5

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