Parameter Estimation of Linear Stochastic Differential Equations with Sparse Observations

Parameter Estimation of Linear Stochastic Differential Equations with Sparse Observations

We consider parameter estimation for linear stochastic differential equations with independent experiments observed at infrequent and irregularly spaced follow-up times. The maximum likelihood method is used to obtain an asymptotically consistent estimator. A kernel-weighted score function is propos...

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Bibliographic Details
Main Authors: Yuecai Han, Zhe Yin, Dingwen Zhang
Format: Article
Language:English
Published: MDPI AG 2022-11-01
Series:Symmetry
Subjects:
kernel-weighted estimation
linear stochastic differential equations
geometric Brownian motion
likelihood function
Online Access:https://www.mdpi.com/2073-8994/14/12/2500

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