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A Multiresolution Method for Parameter Estimation of Diffusion Processes
Diffusion process models are widely used in science, engineering and finance. Most diffusion processes are described by stochastic differential equations in continuous time. In practice, however, data is typically only observed at discrete time points. Except for a few very special cases, no analyti...
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| Main Authors: | , , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2012
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4201595/ https://ncbi.nlm.nih.gov/pubmed/25328259 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/01621459.2012.720899 |
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