Parameter estimation in mean reversion processes with deterministic long-term trend
type: Item
instance of: scholarly article
title: Parameter estimation in mean reversion processes with deterministic long-term trend
zbMATH Open document ID: 1431.62348
DOI: 10.1155/2016/5191583
author: Freddy H. Marín Sánchez
author: Verónica M. Gallego
published in: Journal of Probability and Statistics
publication date: 2018-08-14T00:00:00Z
review text: Summary: 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 \textit{a priori} knowledge exists of the long-term trend. Some experimental results using simulated data sets are graphically illustrated.
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 62F10
zbMATH DE Number: 6917527
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2016/5191583
OpenAlex ID: W2512778335
Wikidata QID: Q59129351
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description: scientific article; zbMATH DE number 6917527