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How to calibrate stochastic model with time series?

Posted: January 19th, 2015, 1:23 am
by EdisonCruise
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.

How to calibrate stochastic model with time series?

Posted: January 19th, 2015, 2:15 pm
by Alan
If all your system variables are observables, I would go with maximum likelihood in mathematica, matlab, etc.

How to calibrate stochastic model with time series?

Posted: January 20th, 2015, 1:34 am
by EdisonCruise
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?

How to calibrate stochastic model with time series?

Posted: January 20th, 2015, 3:41 pm
by Alan
Yes, Y. Ait-Sahalia has done a lot of work on this issue http://www.princeton.edu/~yacine/research

How to calibrate stochastic model with time series?

Posted: January 21st, 2015, 1:11 am
by EdisonCruise
Thanks a lot, Alan