{"entities":{"Q2713012":{"pageid":2723751,"ns":120,"title":"Item:Q2713012","lastrevid":47610061,"modified":"2026-01-02T05:20:36Z","type":"item","id":"Q2713012","labels":{"en":{"language":"en","value":"Filtering and parameter estimation for a mean reverting interest rate model"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 1595417"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2713012$5E4AD421-EB35-49BB-A9C9-F63BDCBEE207","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"31de7d1e94ce18d7984291786b3c1440ca0f44e4","datavalue":{"value":"0980.62083","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2713012$1F55936B-AD0C-433C-AEBA-AA43D89D7EE3","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"b4fd286c80e9259a0741aa43296398cc11e61b80","datavalue":{"value":{"time":"+2002-03-06T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2713012$ECC65498-3275-44E0-93ED-65FD6E0AD0B6","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"da09a36b3cd55a8c4008bfc1571e995d63777860","datavalue":{"value":"62M20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2713012$949A677A-AAE9-4A98-843D-B12F90C05A9A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"4a8fc00d3d69e1837f024970c798053ff342d011","datavalue":{"value":"62P05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2713012$F39AA07D-8E51-466E-B006-3E14DF4FC5D3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"a3b56b9370e2a5b7f63132367f814c4ec6f1c3c7","datavalue":{"value":"65C20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2713012$AE550657-7E62-4035-879C-35AD471FDFCB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"5324c54a5b1cbe1a80cf6fd5ed624d38a1676138","datavalue":{"value":"60J27","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2713012$F0AA0DB0-8F37-4F66-AB9B-7F1715A1E54B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"6a9ff1a146ff44dca747e334413377c148d2df3d","datavalue":{"value":"60J20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2713012$C6129FDB-97FB-4062-8044-35F4D5F544B0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"7b600a0bd525a05fa571487b461fe5ba90ad6e5d","datavalue":{"value":"91B28","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2713012$DD06EBB4-7B7C-4806-B8D7-E7C15B0ACFF5","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"b57b9cd6fe07475c0e5c4dc125ddcc641de3502a","datavalue":{"value":"1595417","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2713012$8D76EA61-B0F7-4037-9E0D-7E0E5416534D","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"56690821ee947ae629a8aadaeb3a85ccf216f133","datavalue":{"value":"mean reverting stochastic processes","type":"string"},"datatype":"string"},"type":"statement","id":"Q2713012$BE5721A5-C4DC-443B-9CE6-5E0536EADE73","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"e058f892cdce8260b8673afc89474c8f54979f69","datavalue":{"value":"hidden Markov chains","type":"string"},"datatype":"string"},"type":"statement","id":"Q2713012$C701B8C2-D43F-4147-8E5F-FE454D9DE32F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"d0c79c6e7b484523941ecdcee08abe121e9dc38e","datavalue":{"value":"interest rates","type":"string"},"datatype":"string"},"type":"statement","id":"Q2713012$AD77EA58-5A91-499E-9777-85E1199FFDFF","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2713012$267B98A8-3570-43E6-A175-C7B9F3989539","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"710e319657bf813cc2b0d93b2e06eb5ea2aa86e0","datavalue":{"value":{"entity-type":"item","numeric-id":234255,"id":"Q234255"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2713012$6F17C63B-B8EF-4FC8-AA4B-DE7CFC336C0A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"13bea5fac29c10f01a9e4b239a52a71bdcd12ee8","datavalue":{"value":{"entity-type":"item","numeric-id":712749,"id":"Q712749"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2713012$05A6BD67-2CB6-4744-AF40-C334EE66C3CB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"68eab4e997b85468ffc3749bd51c79c5d5dd0b94","datavalue":{"value":{"entity-type":"item","numeric-id":354199,"id":"Q354199"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2713012$121217F4-428E-4F30-AFF7-07F2F634ED6F","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"6a5251749487d95688a7e83b7bd1b08605e6cde3","datavalue":{"value":{"text":"Filtering and parameter estimation for a mean reverting interest rate model","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2713012$7A20B7A0-4F31-489E-92E3-84016976F9F6","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"2589322cfa0a8f8e2e0e710843dffe9e5528ce40","datavalue":{"value":{"entity-type":"item","numeric-id":6768430,"id":"Q6768430"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2713012$B6FBFB55-3216-4242-A533-1169A987399F","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"025f6d6d17e72cddad775d0e16b6ce1a7d7ab799","datavalue":{"value":"The authors consider interest rates described by a mean reverting model NEWLINE\\[NEWLINEdL_t= \\gamma(\\overline {L_1}-L_t)dt +\\zeta dW_t,NEWLINE\\]NEWLINE where \\((\\overline {L_t})_t\\) is a finite-space continuous-time Markov chain written as \\(\\overline {L_t}= \\langle X_t,\\lambda \\rangle\\) where \\(\\lambda\\) is a parameter. The process \\((L_t)_t\\) is observed; the unknown parameters are \\(\\lambda\\) and \\((A_t)_t\\), the family of transition intensity matrices associated with \\(X\\).NEWLINENEWLINENEWLINEThe estimation of \\(\\theta= (\\lambda,A)\\) is performed through the EM algorithm to maximize the likelihood, via standard filtering techniques. The method can be extented to include \\(\\gamma\\) in the set of parameters. Simulations using British interest rates are given. This technique, fairly general, could be used with other financial models.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2713012$35D70B77-398A-454C-B8C4-401D901A5E3B","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"127e7db030eebd3380a4df26bc6be81e6c97b01a","datavalue":{"value":{"entity-type":"item","numeric-id":1186089,"id":"Q1186089"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2713012$9C611099-AFE3-4B67-B181-FB15F4159DC6","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"8cbc93628980900527e8183b013f163b2b141e2f","datavalue":{"value":{"entity-type":"item","numeric-id":5704733,"id":"Q5704733"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"352c4741b1b4b76df3e3c5600284d7b9f8d0fc0e","datavalue":{"value":{"amount":"+0.8572095632553101","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2713012$29AEB315-7FA5-409D-BDFA-A357181820B8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"635f6c364b16e33850ab105f375c739662e12028","datavalue":{"value":{"entity-type":"item","numeric-id":1316597,"id":"Q1316597"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"36cf7d791e0f37615bbf67e3930f5e8b4b926395","datavalue":{"value":{"amount":"+0.8042046427726746","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2713012$4D4529B7-4D89-44B4-A9AD-21541B70E03F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"05a36736629d4276ac4b507e56527428b140fb14","datavalue":{"value":{"entity-type":"item","numeric-id":4540829,"id":"Q4540829"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a25a9f78e74dae8a9e132abcbad89ee9d9d8b29f","datavalue":{"value":{"amount":"+0.8020045757293701","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2713012$7C8AEA4E-CF8E-4C83-9989-6104024D5C1C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"99b5895cdd30c2e544a00145784d82815188e332","datavalue":{"value":{"entity-type":"item","numeric-id":4550918,"id":"Q4550918"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"1b999c6c432e02e767b6a25e22ba650a358a3796","datavalue":{"value":{"amount":"+0.8006612658500671","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2713012$805F89B8-A1F0-4D3D-8F3D-046E194D9778","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"d981f3e28ba8195677d64bd517aac0baa6dc8fea","datavalue":{"value":{"entity-type":"item","numeric-id":4678751,"id":"Q4678751"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"d9fda3f7a9609d4006396f6cb159b7f1a9b38c70","datavalue":{"value":{"amount":"+0.8002341985702515","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2713012$EB69129C-118A-4DB5-B69C-44B0F7A1FD90","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:2713012","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:2713012"}}}}}