Parameter estimation in mean reversion processes with deterministic long-term trend

DOI10.1155/2016/5191583zbMath1431.62348OpenAlexW2512778335WikidataQ59129351 ScholiaQ59129351MaRDI QIDQ1658013

Verónica M. Gallego, Freddy H. Marín Sánchez

Publication date: 14 August 2018

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/5191583

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Cites Work

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• A Theory of the Term Structure of Interest Rates
• On estimating the diffusion coefficient from discrete observations
• Hierarchical identification of lifted state-space models for general dual-rate systems
• Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’

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