Shrinkage drift parameter estimation for multi-factor Ornstein-Uhlenbeck processes

DOI10.1002/ASMB.775MaRDI QIDQ5391297zbMATH OpenOpenAlexFDO

Authors Sévérien Nkurunziza, S. Ejaz Ahmed

Publication date 6 April 2011

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.775

zbMATH Keywords

maximum likelihood estimatorVasicek processmulti-factor Ornstein-Uhlenbeck processesshrinkage drift parameter estimation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1547390 (Why is no real title available?)
• An equilibrium characterization of the term structure
• Approximate discrete-time schemes for statistics of diffusion processes
• Estimation of the coefficients of a diffusion from discrete observations
• Notes on the distribution of quadratic forms in singular normal variables
• Prediction of predator-prey populations modelled by perturbed ODEs
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension

Cited in

(14)

• Robust inference strategy in the presence of measurement error
• Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points
• On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
• The asymptotic behaviors for parameter estimation of stochastic functional differential equations
• Estimation and testing in generalized mean-reverting processes with change-point
• L^2-tracking of Gaussian distributions via model predictive control for the Fokker-Planck equation
• Optimal method in multiple regression with structural changes
• Shrinkage strategy in stratified random sample subject to measurement error
• Shrinkage estimation of the memory parameter in stationary Gaussian processes
• Inference in a multivariate generalized mean-reverting process with a change-point
• The risk of tensor Stein-rules in elliptically contoured distributions
• A class of Stein-rules in multivariate regression model with structural changes
• Preliminary test and estimation in some multifactor diffusion processes
• Extension of some important identities in shrinkage-pretest strategies

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