Methods of SDE Calibration

Question

There is somewhere summary of methods that can be used to estimate parameters of SDE?

I currently using MLE and regression due to linear dependence between samples. I searching for something different due to many problems with maintainability of this SDE when using calibration method like this.

I think it should be exist some method that works similar to downhill-simplex algorithm, since I want avoid hassle with math, but I can't find any.

Answer 1

There is somewhere summary of methods that can be used to estimate parameters of SDE?

If you'd like a brief survey, consider the following packages as well as the accompanying papers (note: you may want to follow the citations listed therein):

https://cran.r-project.org/web/packages/Sim.DiffProc/

• "Estimation of Stochastic Differential Equations with Sim.DiffProc Package": https://cran.r-project.org/web/packages/Sim.DiffProc/vignettes/FitSDE.pdf -- in particular, take note of the literature referenced in Section 1.

https://cran.r-project.org/web/packages/yuima/

• "The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations": http://www.jstatsoft.org/article/view/v057i04 -- in particular, take a look at Section 6, "Inference for stochastic processes."