Gaussian Estimation of One-Factor Mean Reversion Processes
We propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new process discretized. The closed formulas for the...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
|
| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2013/239384 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832561724611362816 |
|---|---|
| author | Freddy H. Marín Sánchez J. Sebastian Palacio |
| author_facet | Freddy H. Marín Sánchez J. Sebastian Palacio |
| author_sort | Freddy H. Marín Sánchez |
| collection | DOAJ |
| description | We propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new process discretized. The closed formulas for the estimators are obtained. Using simulated data series, we compare the results obtained with the results published by other authors. |
| format | Article |
| id | doaj-art-a1988b47acac41318d0ebd177b330c39 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-a1988b47acac41318d0ebd177b330c392025-02-03T01:24:22ZengWileyJournal of Probability and Statistics1687-952X1687-95382013-01-01201310.1155/2013/239384239384Gaussian Estimation of One-Factor Mean Reversion ProcessesFreddy H. Marín Sánchez0J. Sebastian Palacio1Basic Science Department, Eafit University, Carrera 49 No. 7 Sur 50, Medellin, ColombiaBasic Science Department, Eafit University, Carrera 49 No. 7 Sur 50, Medellin, ColombiaWe propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new process discretized. The closed formulas for the estimators are obtained. Using simulated data series, we compare the results obtained with the results published by other authors.http://dx.doi.org/10.1155/2013/239384 |
| spellingShingle | Freddy H. Marín Sánchez J. Sebastian Palacio Gaussian Estimation of One-Factor Mean Reversion Processes Journal of Probability and Statistics |
| title | Gaussian Estimation of One-Factor Mean Reversion Processes |
| title_full | Gaussian Estimation of One-Factor Mean Reversion Processes |
| title_fullStr | Gaussian Estimation of One-Factor Mean Reversion Processes |
| title_full_unstemmed | Gaussian Estimation of One-Factor Mean Reversion Processes |
| title_short | Gaussian Estimation of One-Factor Mean Reversion Processes |
| title_sort | gaussian estimation of one factor mean reversion processes |
| url | http://dx.doi.org/10.1155/2013/239384 |
| work_keys_str_mv | AT freddyhmarinsanchez gaussianestimationofonefactormeanreversionprocesses AT jsebastianpalacio gaussianestimationofonefactormeanreversionprocesses |