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Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/20
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
The Shape of the Noncentral Chi-square Density
distribution theory log-concavity log-convexity noncentral distribution
2011/7/6
A noncentral chi-square density is log-concave if the degree of freedom is nu>=2. We complement this known result by showing that, for each 0 there exists lambda_nu>0 such that the chi-square wi...
A diffusion equation for the density of the ratio of Gaussian variables and the numerical inversion of Laplace transform
parabolic equations random matrices kernel estimation
2011/3/21
It is shown that the density of the ratio of two Gaussian random variables with the same variance satisfies a non stationary diffusion equation. Implications of this result for kernel density estimati...