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Biometrika 1998 85(1):240-243; doi:10.1093/biomet/85.1.240
© 1998 by Biometrika Trust
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MISCELLANEA

A statistical method of estimation and simulation for systems of stochastic differential equations

ISAO SHOJI and TOHRU OZAKI

Institute of Policy and Planning Sciences, University of Tsukuba Tsukuba Ibaraki 305, Japan shoji{at}hako.sk.tsukubaac.jp
The Institute of Statistical Mathematics 4-6-7 Minami Azabu, Minato, Tokyo 106, Japan ozaki{at}ism.ac.jp

This paper proposes a new statistical method of estimation and simulation for systems of stochastic differential equations. By using this method, we can easily derive a discretised process from a system of stochastic differential equations. The discretised process is tractable enough to simulate the system and to construct the likelihood which is used to estimate the coefficients of the stochastic differential equations from discrete observation.

Key Words: Discretisation • Local linearisation method • Maximum likelihood estimation • Systems of stochastic differential equations


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