Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion.
Min DaiJinqiao DuanJunjun LiaoXiangjun WangPublished in: Appl. Math. Comput. (2021)
Keyphrases
- maximum likelihood estimation
- stochastic differential equations
- fractional brownian motion
- random effects
- long range
- non stationary
- hidden markov models
- maximum likelihood
- em algorithm
- fractal dimension
- maximum a posteriori estimation
- brownian motion
- random fields
- parameter estimation
- financial markets
- expectation maximization
- probability distribution
- conditional random fields
- additive gaussian noise
- linear model
- diffusion process
- differential equations
- higher order
- markov random field
- noise level
- least squares
- machine learning