Statistical Inference for Stochastic Differential Equations Based on Discrete Observations

[目次]

  • Contents / p3
  • 1 Introduction / p7
  • I A Brief Survey of Estimation Methods / p13
  • 2 A Review of Estimation Methods / p15
  • 2.1 Maximum Likelihood Methods / p18
  • 2.2 Approximation Methods for Stochastic Differential Equations / p25
  • 2.3 Quasi-Likelihood Methods / p30
  • 2.4 Simulation-Based Methods / p37
  • 3 New Estimation Methods / p43
  • 3.1 Local Linearization Method / p44
  • 3.2 Pseudo-Likelihood Approach to Stochastic Differential Equations / p47
  • 3.3 Numerical Studies / p52
  • 3.4 Conclusion / p54
  • II Pseudo-Likelihood Estimation for Stochastic Differential Equations / p61
  • 4 Local Linear Gaussian Estimation for Nonlinear Stochastic Differential Equations / p63
  • 4.1 Local Linear Gaussian Estimation / p64
  • 4.2 Numerical Studies / p67
  • 4.3 Conclusion / p69
  • 5 Approximating Conditional Moments(I) / p75
  • 5.1 The Approximation Method / p76
  • 5.2 Numerical Example / p80
  • 5.3 Conclusion / p81
  • 6 Approximating Conditional Moments(II) / p87
  • 6.1 Dynamics of Conditional Moments / p88
  • 6.2 Numerical Examples / p92
  • 6.3 Conclusion / p94
  • 7 Local Gaussian Methods for Systems of Stochastic Differential Equations / p99
  • 7.1 Pseudo-Likelihood Methods for Stochastic Differential Equations / p101
  • 7.2 Conclusion / p107
  • III Some Applications / p109
  • 8 A Comparative Study of Estimation Methods for Nonlinear Stochastic Differential Equations / p111
  • 8.1 Estimation Methods / p112
  • 8.2 Numerical Studies / p117
  • 8.3 Conclusion / p119
  • 9 Statistical Inference for Mean Reverting Processes / p131
  • 9.1 Estimation Methods / p133
  • 9.2 Comparative Studies / p137
  • 9.3 Conclusion / p139
  • 10 A Nonlinear Model for Financial Dynamics / p149
  • 10.1 The Model / p150
  • 10.2 The Estimation Method / p151
  • 10.3 Conclusion / p156
  • 11 Concluding Remarks / p165

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この本の情報

書名 Statistical Inference for Stochastic Differential Equations Based on Discrete Observations
著作者等 Mitsunori Iino
飯野 光徳
刊行年月 2000
言語 英語
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