Maximum Likelihood Estimation of Latent Affine Processes
收藏NBER2003-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/w9673
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资源简介：
This article develops a direct filtration-based maximum likelihood methodology for estimating the parameters and realizations of latent affine processes. The equivalent of Bayes' rule is derived for recursively updating the joint characteristic function of latent variables and the data conditional
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美国国家经济研究局创建时间：
2003-05-01
