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Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations

Hurn, Aubrey; Jeisman, Joseph; Lindsay, Kenneth - 2007

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/10009483276

Estimating the parameters of Weibull distribution using simulated annealing algorithm

Abbasi, B; Jahromi, A - 2006

Weibull distribution plays an important role in failure distribution modeling in reliability studies. It is a hard work to estimate the parameters of Weibull distribution. This distribution has three parameters, but for simplicity, a parameter is omitted and as a result, the estimation of the...

Persistent link: https://www.econbiz.de/10009481562

Estimating parameters of the three-parameter Weibull distribution using a neural network

Abbasi, B; Rabelo, L; Hosseinkouchack, M - 2008

Weibull distributions play an important role in reliability studies and have many applications in engineering. It normally appears in the statistical scripts as having two parameters, making it easy to estimate its parameters. However, once you go beyond the two parameter distribution, things...

Persistent link: https://www.econbiz.de/10009481810

Parameter estimation of smooth threshold autoregressive models.

Nur, Darfiana - 1998

This thesis is mainly concerned with the estimation of parameters of a first-order Smooth Threshold Autoregressive (STAR) model with delay parameter one. The estimation procedures include classical and Bayesian methods from a parametric and a semiparametric point of view.As the theoretical...

Persistent link: https://www.econbiz.de/10009434818

Estimation of the parameters of stochastic differential equations

Jeisman, Joseph Ian - 2006

Stochastic di®erential equations (SDEs) are　central to much of modern finance theory and have been widely used to model the behaviour of key variables such as the　instantaneous short-term interest rate, asset prices, asset returns and their volatility.　The explanatory and/or predictive...

Persistent link: https://www.econbiz.de/10009437988

Parameter Estimation for the Two-Parameter Weibull Distribution

Nielsen, Mark A. 1985- - 2011

three methods of estimation will be discussed and compared: maximum likelihood estimation (MLE), method of moments …

Persistent link: https://www.econbiz.de/10009457215

Parameter Estimation for the Beta Distribution

Owen,Claire Elayne Bangerter 1984- - 2008

and beta, that can be difficult to estimate. Maximum likelihood and method of moments estimation are possible, though … method of moments is much more straightforward. We examine both of these methods here, and compare them to three more … beta distribution. We find the quantile estimator performs as well as maximum likelihood and method of moments estimators …

Persistent link: https://www.econbiz.de/10009457237

Digitized circular arcs: characterization and parameter estimation

Worring, M.; Smeulders, A.W.M. - 1995

The digitization of a circular arc causes an inherent loss of geometrical information. Arcs with slightly different local curvature or position may lead to exactly the same digital pattern. In this paper we give a characterization of all centers and radii of circular arcs yielding the same...

Persistent link: https://www.econbiz.de/10009460014

On the nature of SEM estimates of ARMA parameters

Molenaar, P.C.M.; Dolan, C.V.; Hamaker, E.L. - 2002

The aim of this article is to (a) reexamine the nature of structural equation modeling (SEM) estimates of autoregressive moving average (ARMA) parameters; (b) replicate S. Van Buuren's simulation experiment in light of P. C. M. Molenaar's comment; and (c) examine the behavior of the...

Persistent link: https://www.econbiz.de/10009460362

Unit-linked life insurance in Lévy-process financial markets - modeling, hedging and statistics

Riesner, Martin - 2006

The main aim of this thesis is the development of locally risk-minimizing hedging strategies for unit-linked life insurance contracts whose unit is modeled in a general Lévy-process financial market. It therefore merges the quite advanced and in recent years developed theory of...

Persistent link: https://www.econbiz.de/10009462196