5 citations · 23 across the 28 of their papers we have counts for
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stat.ME2026
Parameter Estimation for the Mixed Fractional Merton Jump Diffusion Model with EM Algorithm
Chidiogo Joy Agboeke, Hamidreza Maleki Almani, Dario Gasbarra +2
This paper proposes an Expectation--Maximization algorithm with Metropolis--Hastings sampling for parameter estimation in a Mixed Fractional Merton Jump Diffusion model. The model…
stat.ME2007
Application of Girsanov Theorem to Particle Filtering of Discretely Observed Continuous-Time Non-Linear Systems
Simo Särkkä, Tommi Sottinen
This article considers the application of particle filtering to continuous-discrete optimal filtering problems, where the system model is a stochastic differential equation, and no…