Questions tagged [mle]
The mle tag has no usage guidance.
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Taking a set of normally distributed random variables as the sample space to fitting an exponential distribution
Disclaimer, this is my first question/interaction in this forum.
Let's assume I have random variables that are normally distributed. Then, say I take the observations that are greater than the mean, i....
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Efficient way to perform MLE on Merton Jump Diffusion model parameters?
I understand that under Merton Jump Diffusion Model, if we are going to estimate the parameters $ \alpha, \sigma,\mu_J, \delta, \lambda $, we can use maximum likelihood estimation on the probability ...
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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:
...
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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{\...
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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 ...
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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 ...
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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.
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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 ...
CommunityBot
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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 ...
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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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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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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 ...
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