Title:
Maximum-Likelihood-Estimation
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- Category:
- CSharp
- Tags:
-
[Matlab]
[源码]
- File Size:
- 253kb
- Update:
- 2014-04-28
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- Uploaded by:
- 雪之恋
Description: The code, written in MATLAB, implements the closed-form maximum-likelihood estimation method for continuous-time processes in economics and finance. First, the code maximizes the log-likelihood function and displays the MLE estimates, the standard error estimates (constructed from the inverse of Hessian) and the misspecification-robust standard error (i.e., the sandwich estimate). Second, it reports whether the maximization procedure converges under the default tolerance. Finally, it plots the marginal log-likelihood for each parameter in a neighborhood of the estimates. The blue curve is the likelihood function, while each red star corresponds to the estimate for the corresponding parameter. For more information about the models, please read the user s guide (link "more").
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Codes_Matlab.rar
main_script_MLE.m
