Asger Roer Pedersen’s scientific contributions

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Publications (1)


A new approach to maximum likelihood estimation for stochastic differential equations based on discrete observations
  • Article

January 1995

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186 Reads

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408 Citations

Scandinavian Journal of Statistics

Asger Roer Pedersen

We consider maximum likelihood estimation for stochastic differential equations based on discrete observations when the likelihood function is unknown. A sequence of approximations to the likelihood function is derived, and convergence results for the sequence are proven. Estimation by means of the approximate likelihood functions is easy and very generally applicable. The performance of the suggested estimators is studied in two examples, and they are compared with other estimators.

Citations (1)


... The first studies examining conditions and constraints for likelihood estimation of unknown parameters in diffusion processes date back to the late 1980s and early 1990s, as described in [11] and [26]. Subsequent research expanded on the MLE-based approaches, e.g., in [8], and [18]. Further analyses for the equations involving random effects driven by fractional Brownian motion were presented in [7], and [19]. ...

Reference:

Deep learning-based estimation of time-dependent parameters in Markov models with application to nonlinear regression and SDEs
A new approach to maximum likelihood estimation for stochastic differential equations based on discrete observations
  • Citing Article
  • January 1995

Scandinavian Journal of Statistics