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Maximum likelihood estimation of latent Markov models using closed-form approximations

Yacine Aı̈t-Sahalia, Chenxu Li, Chen Xu Li

2020Journal of Econometrics16 citationsDOI

Topics & Concepts

MathematicsApplied mathematicsEstimatorLatent variableLikelihood functionMarkov chain Monte CarloMathematical optimizationMonte Carlo methodAlgorithmEstimation theoryStatisticsMarkov Chains and Monte Carlo MethodsStatistical Methods and InferenceFinancial Risk and Volatility Modeling
Maximum likelihood estimation of latent Markov models using closed-form approximations | Litcius