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Estimation of the variances of TCP/RED using stochastic differential equation

โœ Scribed by Hua Fan; Yong Ren; Xiuming Shan


Book ID
112006938
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
230 KB
Volume
14
Category
Article
ISSN
1561-8625

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โœ Carlo Bianchi; Eugene M. Cleur ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Springer US ๐ŸŒ English โš– 895 KB

In this paper we consider the estimation of some stochastic differential equation models by an indirect estimation method proposed by Gourieroux, Monfort and Renault (1993) using discrete data. The performance of this method is analysed via Monte Carlo experiments. In particular we examine the Vasic