The use of bias correction versus the jackknife when testing the mean reversion and long term mean parameters in continuous time models
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Publication:2409054
DOI10.1515/MCMA-2017-0111zbMATH Open1375.60122OpenAlexW2661736370MaRDI QIDQ2409054FDOQ2409054
Authors: Emma M. Iglesias, G. D. A. Phillips 
Publication date: 10 October 2017
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2017-0111
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Cites Work
- An equilibrium characterization of the term structure
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- Parameter estimation and bias correction for diffusion processes
- Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
- Bias in the estimation of the mean reversion parameter in continuous time models
- Bias in the estimation of mean reversion in continuous-time Lévy processes
- Improving estimation in speckled imagery
- Confidence intervals for quantile estimation using jackknife techniques
- Two-step jackknife bias reduction for logistic regression mles
- Finite-sample bias-correction factors for the median absolute deviation
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