Gaussian Estimation of One-Factor Mean Reversion Processes | Zendy

Freddy H. Marín Sánchez | Zendy; J. Sebastian Palacio | Zendy

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Gaussian Estimation of One-Factor Mean Reversion Processes

Author(s) -

Freddy H. Marín Sánchez,

J. Sebastian Palacio

Publication year - 2013

Publication title -

journal of probability and statistics

Language(s) - English

Resource type - Journals

eISSN - 1687-9538

pISSN - 1687-952X

DOI - 10.1155/2013/239384

Subject(s) - mathematics , estimator , mean reversion , series (stratigraphy) , estimation , factor (programming language) , gaussian , maximum likelihood , discretization , statistics , mathematical optimization , computer science , mathematical analysis , paleontology , physics , quantum mechanics , biology , programming language , management , economics

We propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new process discretized. The closed formulas for the estimators are obtained. Using simulated data series, we compare the results obtained with the results published by other authors

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