Leitura do Dia - Estimação de SDE

Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the
Parameters of Stochastic Differential Equations - A. S. Hurn, J. Jeisman and K.A. Lindsay

Abstract
Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed form expression for the transitional probability density function of the process is not available. As a result, a large number of competing estimation procedures have been proposed. This paper provides a critical evaluation of the various estimation techniques. Special attention is given to the ease of implementation and comparative performance of the procedures when estimating the parameters of the Cox-Ingersoll-Ross and Ornstein- Uhlenbeck equations respectively.