Concepedia

Likelihood Inference For Diffusions

Likelihood Inference for Diffusions is a statistical methodology for estimating parameters of diffusion processes by maximizing the likelihood function derived from the transition density of the stochastic differential equation governing the diffusion, distinguished from alternative inference techniques by its reliance on the exact or approximated probability distribution of the continuous-time process over discrete observations.

29

Publications

1.6K

Citations

48

Authors

53

Institutions

Publications per year

2017–2026

4

Parents

Publications

29

Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)

Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts et al. · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2006 · 356 citations · Full text

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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Michael W. Brandt, Pedro Santa‐Clara · Journal of Financial Economics · 2002 · 286 citations

, , +16

Estimation of the Branch Points of a Branching Diffusion Process

A. W. F. Edwards · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1970 · 147 citations

, , +16

Maximum likelihood estimation of time-inhomogeneous diffusions

Alexei V. Egorov, Haitao Li, Yuewu Xu · Journal of Econometrics · 2003 · 94 citations

, , +16

Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach

Emmanuel Gobet · Bernoulli · 2001 · 83 citations

, , +13

1–5 of 29

Authors

48

  1. GO
    Gareth O. Roberts

    University of Warwick, United Kingdom

    3 publications · 408 citations

    3

    h-index

  2. OP
    Omiros Papaspiliopoulos

    Universitat Pompeu Fabra, Spain

    2 publications · 395 citations

    2

    h-index

  3. HL
    Haitao Li

    Cornell University, United States

    2 publications · 115 citations

    2

    h-index

  4. PS
    Pedro Santa‐Clara

    National Bureau of Economic Research, United States

    2 publications · 296 citations

    2

    h-index

  5. AR
    Anders Rahbek

    University of Copenhagen, Denmark

    2 publications · 89 citations

    2

    h-index

1–5 of 48

Institutions

53

  1. University of Warwick

    Coventry, United Kingdom

    3 h-index

    5 publications

    196 citations

  2. University of Copenhagen

    Copenhagen, Denmark

    3 h-index

    3 publications

    147 citations

  3. Département mathématiques, informatique, sciences de la donnée et technologies du numérique

    Castanet-Tolosan, France

    2 h-index

    2 publications

    51 citations

  4. University of Michigan

    Ann Arbor, United States

    2 h-index

    3 publications

    45 citations

  5. Universidad Politécnica de Cartagena

    Cartagena, Spain

    2 h-index

    2 publications

    89 citations

  6. Université Paris-Sud

    Orsay, France

    1 h-index

    2 publications

    66 citations

  7. Delft University of Technology

    Delft, The Netherlands

    1 h-index

    1 publications

    56 citations

  8. Imperial College London

    London, United Kingdom

    1 h-index

    1 publications

    63 citations

1–8 of 53

Venues

  1. arXiv (Cornell University)

    Repository · 3 publications · 45 citations

    3

    h-index

  2. 3

    h-index

  3. Bernoulli

    3 publications · 197 citations

    3

    h-index

  4. Journal of Econometrics

    2 publications · 128 citations

    2

    h-index

  5. Oxford University Research Archive (ORA) (University of Oxford)

    Repository · 2 publications · 54 citations

    2

    h-index

1–5