Maximum Likelihood Estimation of Drift and Diffusion Functions

Details Maximum Likelihood Estimation of Drift and Diffusion Functions Maximum Likelihood Estimation of Drift and Diffusion Functions

2006-11-10

arxiv.org/abs/physics/0611102v2

Physics

Data Analysis, Statistics and Probability

5 pages, 2 figures

Scientific paper

10.1016/j.physleta.2007.03.082

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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