Edgeworth expansion for the distribution of the maximum likelihood estimate in the Vasicek model
Qinwen Zhu, Hui Liu and Chengfeng Sun
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhu, Qinwen ; Liu, Hui ; Sun, Chengfeng |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 14.2019, 1, p. 1-26
|
| Subject: | Vasicek model | likelihood ratio | parameter estimation | Edgeworth expansion | mean-reversion speed | maximum likelihood estimation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495219500027 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012015465