Search Results - subject:"parameter estimation"

Efficient accommodation of local minima in watershed model calibration

Skahill, B. E.; Doherty, J. E. - 2006

The Gauss-Marquardt-Levenberg (GML) method of computer-based parameter estimation, in common with other gradient … all parameter estimation methodologies) caused by parameter insensitivity and/or parameter correlation. The present paper … parameter subspaces of decreasing dimensionality when progress of the parameter estimation process is slowed either by numerical …

Persistent link: https://www.econbiz.de/10009447949

On the estimation and comparison of short-rate models using the generalised method of moments

Faff, R.; Gray, P. - 2006

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for...

Persistent link: https://www.econbiz.de/10009448412

A general framework for statistical inference on discrete event systems.

Nicolai, R.P.; Koning, A.J. - Erasmus University Rotterdam, Econometric Institute - 2006

the Dutch Haringvliet storm surge barrier. Keywords: parameter estimation; discrete event systems; optimiza- tion via … used the SPSA approach in combina- tion with common random numbers. Table 2 summarizes the results of the parameter … estimation. The estimate of the maximized likelihood function is based on m = 10,000 simulation runs. Figure 2 shows a …

Persistent link: https://www.econbiz.de/10005450910

A general framework for statistical inference on discrete event systems.

Nicolai, R.P.; Koning, Koning, A.J. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

We present a framework for statistical analysis of discrete event systems which combines tools such as simulation of marked point processes, likelihood methods, kernel density estimation and stochastic approximation to enable statistical analysis of the discrete event system, even if...

Persistent link: https://www.econbiz.de/10010731914

Application of Hidden Markov and Hidden Semi-Markov Models to Financial Time Series ; Application of Hidden Markov and Hidden Semi-Markov Models to Financial Time Series

Bulla, Jan - 2006

Persistent link: https://www.econbiz.de/10010353202

Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2

Hurn, Stan; Jeisman, J.; Lindsay, K.A. - National Centre for Econometric Research (NCER) - 2006

Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed form expression for the transitional probability density function of the process is not available. As a result, a...

Persistent link: https://www.econbiz.de/10005766333

Modelling financial time series with SEMIFAR-GARCH model

Feng, Yuanhua; Beran, Jan; Yu, Keming - Volkswirtschaftliche Fakultät, … - 2006

parameter estimation of GARCH error term. So that the model can be applied in practice. We then illustrate the model and …

Persistent link: https://www.econbiz.de/10005789989

Maximum likelihood estimation for small noise multiscale diffusions

Spiliopoulos, Konstantinos; Chronopoulou, Alexandra - In: Statistical Inference for Stochastic Processes 16 (2013) 3, pp. 237-266

We study the problem of parameter estimation for stochastic differential equations with small noise and fast …

Persistent link: https://www.econbiz.de/10010728060

Sparse, mean reverting portfolio selection using simulated annealing

Fogarasi, Norbert; Levendovszky, Janos - In: Algorithmic Finance 2 (2013) 3-4, pp. 197-211

We study the problem of finding sparse, mean reverting portfolios based on multivariate historical time series. After mapping the optimal portfolio selection problem into a generalized eigenvalue problem, we propose a new optimization approach based on the use of simulated annealing. This new...

Persistent link: https://www.econbiz.de/10010840412

Distributions of numbers of runs and scans on directed acyclic graphs with generation

Inoue, Kiyoshi; Aki, Sigeo - In: Computational Statistics 28 (2013) 3, pp. 1133-1150

parameter estimation in the distributions of runs and scans. Copyright Springer-Verlag 2013 …

Persistent link: https://www.econbiz.de/10010847783