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User's Guide for the Matlab Library Implementing Closed Form MLE for Diffusions
 

Summary: User's Guide for the Matlab Library Implementing Closed Form
MLE for Diffusions
Yacine At-Sahalia
Department of Economics and Bendheim Center for Finance
Princeton University and NBER
This Version: May 23, 2011
Abstract
This document explains the use of the attached Matlab code for estimating the parameters of diffusions
using closed-form maximum-likelihood.
Copyright c 2010, Yacine At-Sahalia.
Redistribution and use in source and binary forms, with or without modification, are permitted provided
that the following conditions are met: (i) Redistributions of source code must retain the above copyright
notice, this list of conditions and the following disclaimer; (ii) Redistributions in binary form must repro-
duce the above copyright notice, this list of conditions and the following disclaimer in the documentation
and/or other materials provided with the distribution.
DISCLAIMER: THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CON-
TRIBUTORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PAR-
TICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR
CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEM-

  

Source: At-Sahalia, Yacine - Program in Applied and Comptutational Mathematics & Department of Economics, Princeton University

 

Collections: Mathematics