Gaussian estimation of one-factor mean reversion processes (Q2260564)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Gaussian estimation of one-factor mean reversion processes |
scientific article |
Statements
Gaussian estimation of one-factor mean reversion processes (English)
0 references
11 March 2015
0 references
Summary: We 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.
0 references
0 references
0 references
0 references