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- W3124996428 abstract "This paper develops a quasi-maximum likelihood (QML) procedure for estimating the parameters of multi-dimensional stochastic differential equations. The transitional density is taken to be a time-varying multivariate Gaussian where the first two moments of the distribution are approximately the true moments of the unknown transitional density. For affine drift and diffusion functions, the moments are shown to be exactly those of the true transitional density and for nonlinear drift and diffusion functions the approximation is extremely good. The estimation procedure is easily generalizable to models with latent factors, such as the stochastic volatility class of model. The QML method is as effective as alternative methods when proxy variables are used for unobserved states. A conditioning estimation procedure is also developed that allows parameter estimation in the absence of proxies." @default.
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- W3124996428 date "2010-10-28" @default.
- W3124996428 modified "2023-10-16" @default.
- W3124996428 title "A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions" @default.
- W3124996428 hasPublicationYear "2010" @default.
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