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most citedParameter estimation and model selection for stochastic differential equations for biological growth

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q-fin.MF2022

Maximum Likelihood Estimation for a Markov-Modulated Jump-Diffusion Model

Laura Eslava, Fernando Baltazar-Larios, Bor Reynoso

We propose a method for obtaining maximum likelihood estimates (MLEs) of a Markov-Modulated Jump-Diffusion Model (MMJDM) when the data is a discrete time sample of the diffusion pr…