Gaussian estimation of one-factor mean reversion processes (Q2260564)
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scientific article; zbMATH DE number 6413605
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| English | Gaussian estimation of one-factor mean reversion processes |
scientific article; zbMATH DE number 6413605 |
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Gaussian estimation of one-factor mean reversion processes (English)
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11 March 2015
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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.
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