Questions tagged [mle]

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votes
1answer
50 views

ready codes for calculating integrals, FFT, MLE, drawing graphs, simulate trajectories [closed]

I'm looking for ready-made codes (R, Python or Matlab) for calculating integrals, simulate trajectories of stochastic processes (like CGMY), Fast Fourier Transform, maximum likelihood estimation and ...
7
votes
2answers
187 views

Oil price model calibration with Kalman Filter and MLE in python

I am trying to calibrate a one-factor mean-reverting process in python 3. The process is defined as: \begin{equation} dX = k(\alpha - X)dt + \sigma dW , \end{equation} where $\alpha = \mu - \frac{\...
0
votes
0answers
49 views

How to fix my Ornstein-Uhlenbeck parameter MLE in Python?

I am trying to fit time-series data into an Ornstein-Uhlenbeck process. Here is my code so far: ...
0
votes
1answer
19 views

Suggestions for choosing an optimization algorithm for fitting custom GARCH models by QMLE in R?

I am trying to fit a custom GARCH model by QMLE in R. I have written out the log likelihood function and am now working on optimizing it. However, choosing an optimization algorithm has proven to be ...
1
vote
0answers
33 views

Likelihood increases on increasing variance of measurement error in kalman filter

I tried to fit a local trend model to daily data of a currency. I used the "dlm" package and tried to estimate the parameters V (measurement noise) and W (the process noise) via maximum likelihood. ...
0
votes
1answer
2k 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
vote
1answer
53 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
vote
1answer
777 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 ...
0
votes
0answers
54 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 ...
6
votes
0answers
112 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 ...