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Gaussian Estimation of One-Factor Mean Reversion Processes
Joint Authors
Palacio, J. Sebastian
Marín Sánchez, Freddy H.
Source
Journal of Probability and Statistics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-10-20
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Marín Sánchez, Freddy H.& Palacio, J. Sebastian. 2013. Gaussian Estimation of One-Factor Mean Reversion Processes. Journal of Probability and Statistics،Vol. 2013, no. 2013, pp.1-10.
https://search.emarefa.net/detail/BIM-456453
Modern Language Association (MLA)
Marín Sánchez, Freddy H.& Palacio, J. Sebastian. Gaussian Estimation of One-Factor Mean Reversion Processes. Journal of Probability and Statistics No. 2013 (2013), pp.1-10.
https://search.emarefa.net/detail/BIM-456453
American Medical Association (AMA)
Marín Sánchez, Freddy H.& Palacio, J. Sebastian. Gaussian Estimation of One-Factor Mean Reversion Processes. Journal of Probability and Statistics. 2013. Vol. 2013, no. 2013, pp.1-10.
https://search.emarefa.net/detail/BIM-456453
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-456453