Review on the Current Stochastic Numerical Methods for Econometric Analysis

• 作者: Eugène M. Mbuyi Jean-Pièrre B. Bosonga Lewis N. K. Mambo Rostin M. M. Mabela
• 来源期刊: 美国计算数学期刊(英文)
• 学科: 数学
• 关键词: STOCHASTIC Differential Equations The Euler-Maruyama SCHEME The Milstein SCHEME The CRANK-NICOLSON SCHEME RUNGE-KUTTA Method It? INTEGRALS Econometric Analysis
• 年，卷（期）: mgjssxqkyw_2019,（4）
• 页码范围: 328-347
• 页数: 20页
• 分类号: O17

摘要

The main aim of this paper is to present and emphasize the contribution of stochastic numerical methods as must tools for the modern econometric modelisation. Indeed, the stochastic numerical methods play an important role in mathematical modelling and the econometric analysis because they model uncertainties that govern the real-world data. However these powerful tools are not well-known and understood by many economists and financial econometricians.