## Abstract Recently, Fridman and Harris proposed a method which allows one to approximate the likelihood of the basic stochastic volatility model. They also propose to estimate the parameters of such a model maximising the approximate likelihood by an algorithm which makes use of numerical derivat
Particle methods for maximum likelihood estimation in latent variable models
โ Scribed by Adam M. Johansen; Arnaud Doucet; Manuel Davy
- Publisher
- Springer US
- Year
- 2007
- Tongue
- English
- Weight
- 375 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0960-3174
No coin nor oath required. For personal study only.
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