Parameter estimation in mean reversion processes with deterministic long-term trend
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Cites work
- scientific article; zbMATH DE number 1016795 (Why is no real title available?)
- scientific article; zbMATH DE number 3050761 (Why is no real title available?)
- A theory of the term structure of interest rates
- Auxiliary model identification method for multirate multi-input systems based on least squares
- Bias in the estimation of the mean reversion parameter in continuous time models
- Combined parameter and output estimation of dual-rate systems using an auxiliary model
- Convergence analysis of estimation algorithms for dual-rate stochastic systems
- Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’
- Gaussian estimation of one-factor mean reversion processes
- Hierarchical identification of lifted state-space models for general dual-rate systems
- Model equivalence-based identification algorithm for equation-error systems with colored noise
- On estimating the diffusion coefficient from discrete observations
- Signal frequency and parameter estimation for power systems using the hierarchical identification principle
Cited in
(5)- Estimating a parametric trend component in a continuous-time jump-type process
- On existence of moment of mean reversion estimator in linear diffusion models
- Estimation and application of geometric mean-reversion model
- Optimal trend estimation in geometric asset price models
- Gaussian estimation of one-factor mean reversion processes
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