M. Huzak

activity

20042023

most citedEstimating a class of diffusions from discrete observations via approximate maximum likelihood method

4 citations · 4 across the 2 of their papers we have counts for

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math.ST2023

An approximate maximum likelihood estimator of drift parameters in a multidimensional diffusion model

Miljenko Huzak, Snježana Lubura Strunjak, Andreja Vlahek Štrok

For a fixed $T$ and $k \geq 2$ , a $k$ -dimensional vector stochastic differential equation $d X_{t} = μ (X_{t}, θ) d t + ν (X_{t}) d W_{t},$ is studied over a time interval $[0, T]$ . Vector of drift pa…

math.ST2016★ 4 cited

Estimating a class of diffusions from discrete observations via approximate maximum likelihood method

Miljenko Huzak

An approximate maximum likelihood method of estimation of diffusion parameters $(ϑ, σ)$ based on discrete observations of a diffusion $X$ along fixed time-interval $[0, T]$ a…