On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential equations

被引：31

作者：

Hurn, AS ^{[1
]}

Lindsay, KA

Martin, VL

机构：

[1] Queensland Univ Technol, St Lucia, Qld, Australia

[2] Univ Glasgow, Glasgow, Lanark, Scotland

[3] Univ Melbourne, Parkville, Vic 3052, Australia

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2003年 / 24卷 / 01期

关键词：

maximum likelihood; simulation; indirect inference; kernel-density estimation; term-structure models;

D O I：

10.1111/1467-9892.00292

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

A method for estimating the parameters of stochastic differential equations (SDEs) by simulated maximum likelihood is presented. This method is feasible whenever the underlying SDE is a Markov process. Estimates are compared to those generated by indirect inference, discrete and exact maximum likelihood. The technique is illustrated with reference to a one-factor model of the term structure of interest rates using 3-month US Treasury Bill data.

引用

页码：45 / 63

页数：19

共 27 条

[1]

ALTSAHALIA Y, 1996, REV FINANC STUD, V9, P385

[2]

ALTSAHALIA Y, 1996, ECONOMETRICA, V64, P527

[3]

Brennan M.J., 1979, J BANKING FINANCE, V3, P133, DOI [DOI 10.1016/0378-4266(79)90011-6, 10.1016/0378-4266(79)90011-6]

[4] Another look at models of the short-term interest rate [J].