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   Parameter estimation in mean reversion processes with deterministic long-term trend  
   
نویسنده sánchez f.h.m. ,gallego v.m.
منبع journal of probability and statistics - 2016 - دوره : 2016 - شماره : 0
چکیده    This paper describes a procedure based on maximum likelihood technique in two phases for estimating the parameters in mean reversion processes when the long-term trend is defined by a continued deterministic function. closed formulas for the estimators that depend on observations of discrete paths and an estimation of the expected value of the process are obtained in the first phase. in the second phase,a reestimation scheme is proposed when a priori knowledge exists of the long-term trend. some experimental results using simulated data sets are graphically illustrated. © 2016 freddy h. marín sánchez and verónica m. gallego.
آدرس department of mathematical sciences,universidad eafit,carrera 49 no. 7 sur 50,medellin, Colombia, department of mathematical sciences,universidad eafit,carrera 49 no. 7 sur 50,medellin, Colombia
 
     
   
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