Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values
针对不规则采样、缺失值和面板数据，提出一种含控制变量的连续/离散状态空间模型的最大似然估计方法，并推导出解析得分函数用于非线性优化。
The unknown structural parameters of a continuous/discrete state space model are estimated by maximum likelihood in the presence of irregular sampling, missing values, and cross-sections of time series (panel data). Exogenous (control) variables are included, and the sampling scheme and missing data pattern can be different for each variable and system. Furthermore, the derived non-linear optimization algorithm with analytical score function can be used for the discrete time case as well.