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Penalized importance sampling for parameter estimation in stochastic differential equations
Chronic wasting disease Euler-Maruyama scheme Maximum likelihood estimation Partially observed discrete sparse data Penalized importance sampling Stochastic di
2013/6/14
We consider the problem of estimating parameters of stochastic differential equations with discrete-time observations that are either completely or partially observed. The transition density between t...
On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
Reflected fractional Ornstein-Uhlenbeck processes fractional Brownian motion frac-tional calculus parameter estimation maximum likelihood estimator sequential maximum likeli-hood estimator
2013/4/28
We consider a reflected Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter $H\in(0,1)$. Our goal is to estimate an unknown drift parameter $\alpha\in (-\infty,\inft...
Parameter estimation for pair-copula constructions
copulae efficiency empirical distribution functions hierarchical construction stepwise estimation vines
2013/4/28
We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structure. We present its as...