On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model

DOI10.1007/978-981-15-1960-4_16zbMath1445.62041arXiv2108.01881OpenAlexW2996994397MaRDI QIDQ3305509

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Publication date: 7 August 2020

Published in: Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.01881

zbMATH Keywords

parameter estimationKalman filterpartially observed linear system

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Point estimation (62F10) Foundations and philosophical topics in statistics (62A01) Statistical aspects of big data and data science (62R07)

Related Items (1)

On correlated measurement errors in the Schwartz-Smith two-factor model

Uses Software

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• astsa
• KFAS
• dse

Cites Work

• KFAS
• On parameter estimation of the hidden Ornstein-Uhlenbeck process
• On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter
• Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
• Time Series Analysis and Its Applications
• Parameter Estimation for a Bidimensional Partially Observed Ornstein-Uhlenbeck Process with Biological Application
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• Unnamed Item

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