학술논문
Maximum Likelihood Estimation of Drift and Diffusion Functions
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Working Paper
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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.
Comment: 5 pages, 2 figures
Comment: 5 pages, 2 figures