Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods
AbstractWe propose a method for the simultaneous estimation of the drift and diffusion coefficients of stochastic differential equations (SDE) from panel data. The method involves matching the distribution of the experimental/field data with a panel of simulated data generated by a Monte Carlo experiment. The fit between the two distributions is assessed by means of the chi-square goodness-of-fit statistic leading to a confidence function computed from an incomplete gamma function. A numerical optimisation algorithm then optimises the choice of parameters to maximise this function. Preliminary evidence is presented which suggests that it is possible to estimate the coefficients of the generating SDE very accurately.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 472.
Length: 20 pages
Date of creation: 1995
Date of revision:
Contact details of provider:
Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
Phone: +61 3 8344 5289
Fax: +61 3 8344 6899
Web page: http://www.economics.unimelb.edu.au
More information through EDIRC
STOCHASTIC MODELS; ECONOMETRICS;
Other versions of this item:
- Stan Hurn, A. & Lindsay, K.A., 1997. "Estimating the parameters of stochastic differential equations by Monte Carlo methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 495-501.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- A. S. Hurn & J. I. Jeisman & K. A. Lindsay, 0.
"Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 5(3), pages 390-455.
- Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology.
- Alcock, Jamie & Burrage, Kevin, 2004. "A genetic estimation algorithm for parameters of stochastic ordinary differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 255-275, September.
- Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation," Stan Hurn Discussion Papers 2006-01, School of Economics and Finance, Queensland University of Technology.
- Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series 2, National Centre for Econometric Research.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marisa Cerantola).
If references are entirely missing, you can add them using this form.