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- W2079797772 abstract "The problem of computing the maximum likelihood estimate of the parameters of a specific class of stochastic differential equation (SDE) models with linear drift whose sample paths are observed at discrete time points is considered. This estimate is obtained as in Cleur and Manfredi (1999) by discretizing the explicit expressions for the estimates which maximize the likelihood function in continuous time, by discretizing the likelihood function through a quadrature approximation before maximizing it, and by maximizing the likelihood function of the Euler scheme approximation to the underlying continuous process. Simulation results indicate that, for the constellation of parameter values considered, all three approaches lead to very similar results." @default.
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- W2079797772 date "2001-09-01" @default.
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- W2079797772 title "Maximum Likelihood Estimates of a Class of One-Dimensional Stochastic Differential Equation Models From Discrete Data" @default.
- W2079797772 doi "https://doi.org/10.1111/1467-9892.00238" @default.
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