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

Mathematics

• Maximum Likelihood Estimation 100%
• Closed Form 100%
• Likelihood Function 66%
• Parameter Estimate 33%
• Monte Carlo 33%
• Approximates 33%
• Maximum Likelihood Estimator 33%
• Stochastic Volatility 33%
• Computational Cost 33%
• Continuous Time Model 33%
• Transition Density 33%
• Term Structure 33%

Keyphrases

• Latent Markov Model 100%
• Linear Computational Cost 50%
• High-dimensional Integrals 50%