Parameter Estimation in Mean Reversion Processes with Deterministic Long-Term Trend
| dc.citation.journalTitle | Journal of Probability and Statistics | |
| dc.contributor.author | Marin Sanchez, Freddy H. | spa |
| dc.contributor.author | Gallego, Veronica M. | spa |
| dc.contributor.department | Universidad EAFIT. Departamento de Economía y Finanzas | spa |
| dc.contributor.researchgroup | Research in Spatial Economics (RISE) | eng |
| dc.date.accessioned | 2021-04-12T14:26:16Z | |
| dc.date.available | 2021-04-12T14:26:16Z | |
| dc.date.issued | 2016-01-01 | |
| dc.description.abstract | This 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.identifier | https://eafit.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=5187 | |
| dc.identifier.doi | 10.1016/j.inveco.2016.11.004 | |
| dc.identifier.issn | 1687952X | |
| dc.identifier.issn | 16879538 | |
| dc.identifier.other | SCOPUS;2-s2.0-85000398956 | |
| dc.identifier.uri | http://hdl.handle.net/10784/28045 | |
| dc.language.iso | eng | eng |
| dc.publisher | Hindawi Publishing Corporation | |
| dc.relation.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986269087&doi=10.1155%2f2016%2f5191583&partnerID=40&md5=22584272c2e87f33ca4925501e5089e4 | |
| dc.rights | https://v2.sherpa.ac.uk/id/publication/issn/1687-952X | |
| dc.source | Journal of Probability and Statistics | |
| dc.subject.keyword | DUAL-RATE SYSTEMS | eng |
| dc.subject.keyword | OUTPUT ESTIMATION | eng |
| dc.subject.keyword | AUXILIARY MODEL | eng |
| dc.subject.keyword | INTEREST-RATES | eng |
| dc.subject.keyword | IDENTIFICATION | eng |
| dc.title | Parameter Estimation in Mean Reversion Processes with Deterministic Long-Term Trend | eng |
| dc.type | article | eng |
| dc.type | info:eu-repo/semantics/article | eng |
| dc.type | info:eu-repo/semantics/publishedVersion | eng |
| dc.type | publishedVersion | eng |
| dc.type.local | Artículo | spa |
Archivos
Bloque original
1 - 1 de 1
No hay miniatura disponible
- Nombre:
- 5191583.pdf
- Tamaño:
- 2.18 MB
- Formato:
- Adobe Portable Document Format
- Descripción: