Parameter estimation in commodity markets: a filtering approach

DOI10.1016/j.jedc.2006.07.005zbMath1163.91358OpenAlexW2116035374MaRDI QIDQ1027370

Robert J. Elliott, Cody Blaine Hyndman

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.07.005

zbMATH Keywords

parameter estimationEM algorithmfilteringfutures price

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Filtering in stochastic control theory (93E11) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (2)

SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation ⋮ CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION

Cites Work

• On the convergence properties of the EM algorithm
• Exact Finite-Dimensional Filters for Maximum Likelihood Parameter Estimation of Continuous-time Linear Gaussian Systems
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
• Energy futures prices: term structure models with Kalman filter estimation
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