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EdisonCruise
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Joined: September 15th, 2012, 4:22 am

How to calibrate stochastic model with time series?

January 19th, 2015, 1:23 am

How to calibrate stochastic model with time series? I know there are lots of numerical methods like solving Fokker-Planck PDE, Disrete maximum likelihood, Hermite polynomial expansion, Markov Chain Monte Carlo. But is there any availble numerical library to do this? I prefer open source library. Thank you.
 
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Alan
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How to calibrate stochastic model with time series?

January 19th, 2015, 2:15 pm

If all your system variables are observables, I would go with maximum likelihood in mathematica, matlab, etc.
 
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EdisonCruise
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Joined: September 15th, 2012, 4:22 am

How to calibrate stochastic model with time series?

January 20th, 2015, 1:34 am

Thanks again, Alan. I want to use maximum likelihood, but I am not sure how to construct the likelihood function for specific stochastic models, especially high dimensional models. I think mathematica, matlab only provide optimizaiton functions, rather than likelihood function. Are there any good references on this topic or any software package?
 
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Alan
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How to calibrate stochastic model with time series?

January 20th, 2015, 3:41 pm

Yes, Y. Ait-Sahalia has done a lot of work on this issue http://www.princeton.edu/~yacine/research
 
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EdisonCruise
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Joined: September 15th, 2012, 4:22 am

How to calibrate stochastic model with time series?

January 21st, 2015, 1:11 am

Thanks a lot, Alan
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