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MLE for complicated stochatic process
Hello People,My question is how do i obtain MLE estimates for a stochastic process where the pdf cannot be written in a functional form(not obvious how to write)
MLE for complicated stochatic process
Could you do it via Monte Carlo?On a related note, there is no known likelihood function for stochastic vol right?
MLE for complicated stochatic process
Here is a place to start:http://www.princeton.edu/~yacine/research.htmregards,
MLE for complicated stochatic process
junbum:If you know the moments you can use some expansion. If you have the characteristic function you can also construct approximations.James:Bates has a methodology where he implements a (type of) Kalman filter on the Heston model using characteristic functions. He calls it ML for affine processes.Kyriakos
MLE for complicated stochatic process
>> there is no known likelihood function for stochastic vol, right? James, Kyriakos Fyi, this is actually the principal focus of this book (coming out in September)http://www.wiley.com/WileyCDA/WileyTitl ... 33873.html
Last edited by reza on June 6th, 2005, 10:00 pm, edited 1 time in total.
MLE for complicated stochatic process
Looks like a very interesting book.If I buy a copy you'll have to sign it for me!