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- Title
Closed-form likelihoods for stochastic differential equation growth models.
- Authors
Paige, Robert; Allen, Edward
- Abstract
The authors derive closed-form expressions for the full, profile, conditional and modified profile likelihood functions for a class of random growth parameter models they develop as well as Garcia's additive model. These expressions facilitate the determination of parameter estimates for both types of models. The profile, conditional and modified profile likelihood functions are maximized over few parameters to yield a complete set of parameter estimates. In the development of their random growth parameter models the authors specify the drift and diffusion coefficients of the growth parameter process in a natural way which gives interpretive meaning to these coefficients while yielding highly tractable models. They fit several of their random growth parameter models and Garcia's additive model to stock market data, and discuss the results.
- Subjects
MATHEMATICAL models of economic development; ESTIMATION theory; STOCHASTIC difference equations; MATHEMATICAL models; PARAMETER estimation
- Publication
Canadian Journal of Statistics, 2010, Vol 38, Issue 3, p474
- ISSN
0319-5724
- Publication type
Article
- DOI
10.1002/cjs.10071