Estimating parameters of stochastic differential equations using a criterion function based on the Kolmogorov-Smirnov statistics

Autor:	Daria Filatova, Marek Grzwaczewski, David McDonald
Rok vydání:	2004
Předmět:	General Mathematics
Zdroj:	Acta et Commentationes Universitatis Tartuensis de Mathematica. 8:93-99
ISSN:	2228-4699 1406-2283
Popis:	We introduce a method for the estimation of stochastic differential equation coefficients from panel data. The method involves matching the distribution of the experimental/field data with a panel of simulated data generated by a Monte Carlo experiment. The fit between the two distributions is assessed by means of Kolmogorov-Smirnov goodness-of-fit statistic leading to a confidence function computed from an incomplete gamma function. A numerical optimization algorithm then optimizes the choice of parameters to maximize this function.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::270cadd14bac47a19a74a08f3d59afd0 https://doi.org/10.12697/acutm.2004.08.05 Zobrazit plný text záznamu