Maximum likelihood estimation of diffusions by continuous time Markov chain.
J. Lars KirkbyNguyen Hai DangDuy NguyenNhu N. NguyenPublished in: Comput. Stat. Data Anal. (2022)
Keyphrases
- markov chain
- maximum likelihood estimation
- steady state
- markov processes
- maximum likelihood
- finite state
- transition probabilities
- em algorithm
- random walk
- monte carlo
- stationary distribution
- monte carlo method
- stochastic process
- markov process
- probability distribution
- monte carlo simulation
- markov model
- parameter estimation
- density function
- expectation maximization
- state space
- gibbs sampling
- feature selection
- bayesian networks