BUILT-IN WOLFRAM LANGUAGE SYMBOL

ProcessEstimator

ProcessEstimator
is an option to EstimatedProcess and FindProcessParameters that specifies what process parameter estimator to use.

Details and OptionsDetails and Options

  • The following basic settings can be used:
  • Automaticautomatically choose the estimator to use
    "MaximumLikelihood"maximize the loglikelihood function
  • The maximum likelihood method will maximize the log-likelihood function , where is the process parameters and is the PDF for the joint SliceDistribution of the ^(th) path.
  • ProcessEstimator->{"estimator",Method->"solver"} specifies what underlying optimization solver to use.
  • Possible solver settings for include:
  • Automaticautomatically chosen solver
    "FindMaximum"use FindMaximum to maximize log-likelihood
    "NMaximize"use NMaximize to maximize log-likelihood
  • With the setting ProcessEstimator->{"estimator",Method->{"solver",opts}}, additional options can be given for the solver.
  • Solver methods such as NMaximize that do not rely on starting values will not make use of starting values given to EstimatedProcess or FindProcessParameters.
  • Special settings for ProcessEstimator are documented under the individual random process reference pages.

ExamplesExamplesopen allclose all

Basic Examples  (1)Basic Examples  (1)

Construct a process model from data using automatic methods:

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Use maximum likelihood estimates:

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Compare the first-order probability density functions at :

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Introduced in 2012
(9.0)