Closed-form Likelihoods for Stochastic Differential Equation Growth Models
Stephens, David A.
The authors derive closed-form expressions for the full, profile, conditional and modified profile likelihood functions for a class of random growth parameter models they develop as well as Garcia's additive model. These expressions facilitate the determination of parameter estimates for both types of models. the profile, conditional and modified profile likelihood functions are maximized over few parameters to yield a complete set of parameter estimates. in the development of their random growth parameter models the authors specify the drift and diffusion coefficients of the growth parameter process in a natural way which gives interpretive meaning to these coefficients while yielding highly tractable models. They fit several of their random growth parameter models and Garcia's additive model to stock market data, and discuss the results.
R. Paige and E. Allen, "Closed-form Likelihoods for Stochastic Differential Equation Growth Models," Canadian Journal of Statistics, Wiley-Blackwell, Jan 2010.
The definitive version is available at http://dx.doi.org/10.1002/cjs.10071
Mathematics and Statistics
Keywords and Phrases
growth modelling; likelihood estimation; pseudo-likelihoods; stochastic differential equations
Article - Journal
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