Gaussian estimation of one-factor mean reversion processes

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dc.citation.journalTitleJournal of Probability and Statisticseng
dc.contributor.authorMarín Sánchez, F.H.
dc.contributor.authorPalacio, J.S.
dc.contributor.departmentUniversidad EAFIT. Escuela de Cienciasspa
dc.contributor.researchgroupModelado Matemáticospa
dc.date.accessioned2021-04-12T14:07:11Z
dc.date.available2021-04-12T14:07:11Z
dc.date.issued2013-01-01
dc.description.abstractWe propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new process discretized. The closed formulas for the estimators are obtained. Using simulated data series, we compare the results obtained with the results published by other authors. © 2013 Freddy H. Marín Sánchez and J. Sebastian Palacio.eng
dc.identifierhttps://eafit.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=2029
dc.identifier.doi10.1155/2013/239384
dc.identifier.issn1687952X
dc.identifier.issn16879538
dc.identifier.otherSCOPUS;2-s2.0-84887460282
dc.identifier.urihttp://hdl.handle.net/10784/27768
dc.language.isoengeng
dc.publisherHindawi Publishing Corporation
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84887460282&doi=10.1155%2f2013%2f239384&partnerID=40&md5=7f17a6776d71ac890b2384c1e8efa443
dc.rightshttps://v2.sherpa.ac.uk/id/publication/issn/1687-952X
dc.sourceJournal of Probability and Statistics
dc.titleGaussian estimation of one-factor mean reversion processeseng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.typepublishedVersioneng
dc.type.localArtículospa

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