Shrinkage drift parameter estimation for multi‐factor Ornstein–Uhlenbeck processes (Q5391297)
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scientific article; zbMATH DE number 5875041
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Shrinkage drift parameter estimation for multi‐factor Ornstein–Uhlenbeck processes |
scientific article; zbMATH DE number 5875041 |
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Shrinkage drift parameter estimation for multi‐factor Ornstein–Uhlenbeck processes (English)
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6 April 2011
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shrinkage drift parameter estimation
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Vasicek process
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multi-factor Ornstein-Uhlenbeck processes
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maximum likelihood estimator
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