Parameter Estimation in Mean Reversion Processes with Deterministic Long-Term Trend

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dc.citation.journalTitleJournal of Probability and Statisticseng
dc.contributor.authorMarin Sanchez, Freddy H.
dc.contributor.authorGallego, Veronica M.
dc.contributor.departmentUniversidad EAFIT. Escuela de Cienciasspa
dc.contributor.researchgroupModelado Matemáticospa
dc.date.accessioned2021-04-12T14:07:12Z
dc.date.available2021-04-12T14:07:12Z
dc.date.issued2016-01-01
dc.description.abstractThis paper describes a procedure based on maximum likelihood technique in two phases for estimating the parameters in mean reversion processes when the long-term trend is defined by a continued deterministic function. Closed formulas for the estimators that depend on observations of discrete paths and an estimation of the expected value of the process are obtained in the first phase. In the second phase, a reestimation scheme is proposed when a priori knowledge exists of the long-term trend. Some experimental results using simulated data sets are graphically illustrated.eng
dc.identifierhttps://eafit.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=5187
dc.identifier.doi10.1155/2016/5191583
dc.identifier.issn1687952X
dc.identifier.issn16879538
dc.identifier.otherWOS;000382655500001
dc.identifier.otherSCOPUS;2-s2.0-84986269087
dc.identifier.urihttp://hdl.handle.net/10784/27772
dc.language.isoengeng
dc.publisherHindawi Publishing Corporation
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84986269087&doi=10.1155%2f2016%2f5191583&partnerID=40&md5=22584272c2e87f33ca4925501e5089e4
dc.rightshttps://v2.sherpa.ac.uk/id/publication/issn/1687-952X
dc.sourceJournal of Probability and Statistics
dc.subject.keywordDUAL-RATE SYSTEMSeng
dc.subject.keywordOUTPUT ESTIMATIONeng
dc.subject.keywordAUXILIARY MODELeng
dc.subject.keywordINTEREST-RATESeng
dc.subject.keywordIDENTIFICATIONeng
dc.titleParameter Estimation in Mean Reversion Processes with Deterministic Long-Term Trendeng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.typepublishedVersioneng
dc.type.localArtículospa

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