Parameter Estimation of the Extended Vasiček Model
In this paper, an estimate of the drift and diffusion parameters of the extended Vasiček model is presented. The estimate is based on the method of maximum likelihood. We derive a closed-form expansion for the transition (probability) density of the extended Vasiček process and use the expansion to...
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| Format: | Article |
| Language: | English |
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Walailak University
2011-11-01
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| Series: | Walailak Journal of Science and Technology |
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| Online Access: | http://wjst.wu.ac.th/index.php/wjst/article/view/54 |
| _version_ | 1811298938020429824 |
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| author | Sanae RUJIVAN |
| author_facet | Sanae RUJIVAN |
| author_sort | Sanae RUJIVAN |
| collection | DOAJ |
| description | In this paper, an estimate of the drift and diffusion parameters of the extended Vasiček model is presented. The estimate is based on the method of maximum likelihood. We derive a closed-form expansion for the transition (probability) density of the extended Vasiček process and use the expansion to construct an approximate log-likelihood function of a discretely sampled data of the process. Approximate maximum likelihood estimators (AMLEs) of the parameters are obtained by maximizing the approximate log-likelihood function. The convergence of the AMLEs to the true maximum likelihood estimators is obtained by increasing the number of terms in the expansions with a small time step size. |
| first_indexed | 2024-04-13T06:27:44Z |
| format | Article |
| id | doaj.art-9c95509f1a964276a1906803ec629f35 |
| institution | Directory Open Access Journal |
| issn | 1686-3933 2228-835X |
| language | English |
| last_indexed | 2024-04-13T06:27:44Z |
| publishDate | 2011-11-01 |
| publisher | Walailak University |
| record_format | Article |
| series | Walailak Journal of Science and Technology |
| spelling | doaj.art-9c95509f1a964276a1906803ec629f352022-12-22T02:58:21ZengWalailak UniversityWalailak Journal of Science and Technology1686-39332228-835X2011-11-017110.2004/wjst.v7i1.5450Parameter Estimation of the Extended Vasiček ModelSanae RUJIVAN0Division of Mathematics, School of Science, Walailak University, Nakhon Si Thammarat 80161In this paper, an estimate of the drift and diffusion parameters of the extended Vasiček model is presented. The estimate is based on the method of maximum likelihood. We derive a closed-form expansion for the transition (probability) density of the extended Vasiček process and use the expansion to construct an approximate log-likelihood function of a discretely sampled data of the process. Approximate maximum likelihood estimators (AMLEs) of the parameters are obtained by maximizing the approximate log-likelihood function. The convergence of the AMLEs to the true maximum likelihood estimators is obtained by increasing the number of terms in the expansions with a small time step size.http://wjst.wu.ac.th/index.php/wjst/article/view/54The extended Vasiček modeltransition densitymaximum likelihood estimation |
| spellingShingle | Sanae RUJIVAN Parameter Estimation of the Extended Vasiček Model Walailak Journal of Science and Technology The extended Vasiček model transition density maximum likelihood estimation |
| title | Parameter Estimation of the Extended Vasiček Model |
| title_full | Parameter Estimation of the Extended Vasiček Model |
| title_fullStr | Parameter Estimation of the Extended Vasiček Model |
| title_full_unstemmed | Parameter Estimation of the Extended Vasiček Model |
| title_short | Parameter Estimation of the Extended Vasiček Model |
| title_sort | parameter estimation of the extended vasicek model |
| topic | The extended Vasiček model transition density maximum likelihood estimation |
| url | http://wjst.wu.ac.th/index.php/wjst/article/view/54 |
| work_keys_str_mv | AT sanaerujivan parameterestimationoftheextendedvasicekmodel |