dorsal/arxiv
View SchemaMaximum Likelihood Estimation of Drift and Diffusion Functions
| Authors | D. Kleinhans, R. Friedrich |
|---|---|
| Categories | |
| ArXiv ID | physics/0611102 |
| URL | https://arxiv.org/abs/physics/0611102 |
| DOI | 10.1016/j.physleta.2007.03.082 |
Abstract
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics Letters A (346), 2005] and put the application of the method on a firm theoretical basis.
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"abstract": "The maximum likelihood approach is adapted to the problem of estimation of\ndrift and diffusion functions of stochastic processes from measured time\nseries. We reconcile a previously devised iterative procedure [Kleinhans et\nal., Physics Letters A (346), 2005] and put the application of the method on a\nfirm theoretical basis.",
"arxiv_id": "physics/0611102",
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"R. Friedrich"
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"doi": "10.1016/j.physleta.2007.03.082",
"title": "Maximum Likelihood Estimation of Drift and Diffusion Functions",
"url": "https://arxiv.org/abs/physics/0611102"
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