Published August 20, 2007
| Version v1
Journal article
Maximum likelihood estimation of drift and diffusion functions
Creators
- 1. Westfaelische Wilhelms-Universitaet Muenster, D-48149 Muenster (Germany)
Description
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 [D. Kleinhans, R. Friedrich, A. Nawroth, J. Peinke, Phys. Lett. A 346 (2005) 42] and put the application of the method on a firm theoretical basis
Availability note (English)
Available from http://dx.doi.org/10.1016/j.physleta.2007.03.082Additional details
Identifiers
- DOI
- 10.1016/j.physleta.2007.03.082;
- arXiv
- arXiv:physics/0611102v2;
- PII
- S0375-9601(07)00528-2;
Publishing Information
- Journal Title
- Physics Letters. A
- Journal Volume
- 368
- Journal Issue
- 3-4
- Journal Page Range
- p. 194-198
- ISSN
- 0375-9601
- CODEN
- PYLAAG
INIS
- Country of Publication
- Netherlands
- Country of Input or Organization
- International Atomic Energy Agency (IAEA)
- INIS RN
- 39083661
- Subject category
- S71: CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS;
- Descriptors DEI
- DIFFUSION; FUNCTIONS; ITERATIVE METHODS; MAXIMUM-LIKELIHOOD FIT; STOCHASTIC PROCESSES
- Descriptors DEC
- CALCULATION METHODS; MATHEMATICAL SOLUTIONS; NUMERICAL SOLUTION
Optional Information
- Copyright
- Copyright (c) 2007 Elsevier Science B.V., Amsterdam, The Netherlands, All rights reserved.