Parameter estimation in mean reversion processes with deterministic long-term trend
From MaRDI portal
Publication:1658013
DOI10.1155/2016/5191583zbMATH Open1431.62348OpenAlexW2512778335WikidataQ59129351 ScholiaQ59129351MaRDI QIDQ1658013FDOQ1658013
Verónica M. Gallego, Freddy H. Marín Sánchez
Publication date: 14 August 2018
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2016/5191583
Recommendations
- Estimation of parameters in mean-reverting stochastic systems
- Estimation of parameters for trend-renewal processes
- Parameter estimation of stochastic process with long-range dependence and intermittency
- Estimating a parametric trend component in a continuous-time jump-type process
- Drift estimation for a periodic mean reversion process
- Recursive parameter estimation in the trend coefficient of a diffusion process
- Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
- Bias in the estimation of the mean reversion parameter in continuous time models
Cites Work
- A theory of the term structure of interest rates
- On estimating the diffusion coefficient from discrete observations
- Title not available (Why is that?)
- Auxiliary model identification method for multirate multi-input systems based on least squares
- Hierarchical identification of lifted state-space models for general dual-rate systems
- Signal frequency and parameter estimation for power systems using the hierarchical identification principle
- Combined parameter and output estimation of dual-rate systems using an auxiliary model
- Convergence analysis of estimation algorithms for dual-rate stochastic systems
- Title not available (Why is that?)
- Bias in the estimation of the mean reversion parameter in continuous time models
- Model equivalence-based identification algorithm for equation-error systems with colored noise
- Gaussian estimation of one-factor mean reversion processes
- Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’
Cited In (2)
This page was built for publication: Parameter estimation in mean reversion processes with deterministic long-term trend
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1658013)
