Maximum Likelihood Estimation of Drift and Diffusion Functions

D. Kleinhans and R. Friedrich

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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.

Date: 2006-11, Revised 2007-03
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