Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
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https://www.nber.org/papers/t0059
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资源简介：
In this paper, we consider the parametric estimation problem for continuous time stochastic processes described by general first-order nonlinear stochastic differential equations of the Ito type. We characterize the likelihood function of a discretely-sampled set of observations as the solution to a
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美国国家经济研究局创建时间：
1986-08-01
