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Maximum Likelihood Estimation of Drift and Diffusion Functions

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  • D. Kleinhans
  • R. Friedrich

Abstract

The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics Letters A (346), 2005] and put the application of the method on a firm theoretical basis.

Suggested Citation

  • D. Kleinhans & R. Friedrich, 2006. "Maximum Likelihood Estimation of Drift and Diffusion Functions," Papers physics/0611102, arXiv.org, revised Mar 2007.
    • Handle: RePEc:arx:papers:physics/0611102
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    Cited by:

    1. Varughese, Melvin M., 2013. "Parameter estimation for multivariate diffusion systems," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 417-428.

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