most citedMaximum Likelihood Estimation for Stochastic Differential Equations Using Sequential Kriging-Based Optimization

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stat.ME2014★ 3 cited

Maximum Likelihood Estimation for Stochastic Differential Equations Using Sequential Kriging-Based Optimization

Grant Schneider, Peter F. Craigmile, Radu Herbei

Stochastic Differential Equations (SDEs) are used as statistical models in many disciplines. However, intractable likelihood functions for SDEs make inference challenging, and we n…