CRIS Current Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishMaximum likelihood estimation (MLE) of stochastic differential equations (SDEs) is difficult because in general the transition density function of these processes is not known in closed form, and has to be approximated somehow. An approximation based on efficient importance sampling (EIS) is detailed. Monte Carlo experiments, based on widely used diffusion processes, evaluate its performance against an alternative importance sampling (IS) strategy, showing that EIS is at least equivalent, if not superior, while allowing a greater flexibility needed when examining more complicated models.
| Titolo: | Efficient importance sampling maximum likelihood estimation of stochastic differential equations |
| Autore/i: | PASTORELLO, SERGIO; E. Rossi |
| Autore/i Unibo: | |
| Anno: | 2010 |
| Rivista: | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.csda.2010.02.001 |
| Abstract: | Maximum likelihood estimation (MLE) of stochastic differential equations (SDEs) is difficult because in general the transition density function of these processes is not known in closed form, and has to be approximated somehow. An approximation based on efficient importance sampling (EIS) is detailed. Monte Carlo experiments, based on widely used diffusion processes, evaluate its performance against an alternative importance sampling (IS) strategy, showing that EIS is at least equivalent, if not superior, while allowing a greater flexibility needed when examining more complicated models. |
| Data prodotto definitivo in UGOV: | 2010-12-06 18:03:42 |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
File in questo prodotto:
http://hdl.handle.net/11585/89621
Copyright © 2020