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Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1.
Patrice Soh Takam
Eugene Kouassi
Renaud Fadonougbo
Martin Kegnenlezom
Published in:
Comput. Stat. (2021)
Keyphrases
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closed form
closed form solutions
hyperparameters
marginal likelihood
log likelihood
maximum likelihood estimates
rigid motion
point correspondences
iterative procedure
partition function
closed form expressions
gaussian process