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Questions tagged [mle]

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0
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1answer
129 views

MLE error in R: initial value in 'vmmin' is not finite

I am trying to fit an ARIMA(1,1)-GARCH(1,1) model. I changed the starting values a lot but still its returning the same error. Below is my code which contains two functions ...
1
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1answer
48 views

Can GARCH volatility simulations generally be applied to return-modelling models?

This may be a naive question, but I still hope some discussion can elucidate a (so far) totally nebulous point for me. I've recently learned that GARCH models can give one simulations of ...
1
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1answer
363 views

How to estimate lambda for Jump-Diffusion Process from Empirical data?

So, I have really no idea how to go about this, but how would I go about choosing sensible parameter values for a basic jump-diffusion simulation, namely $\lambda$ ? For example, getting the average ...
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0answers
50 views

Good introduction to estimating stochastic diffusion processes?

So, in an advanced Econometrics course, the current topic relates to estimating transition densities and diffusion processes by MLE, such as this R package doc describes, for ex., and I have to admit ...
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0answers
98 views

Estimation of right truncated poisson process

I have following problem: Imagine I generate large number of homogenous poisson process sample paths (by sample path I mean a sequence of arrival times $\tau_i$ all with the same intensity. However ...