Efficient Parameter Estimation for Multivariate Jump-Diffusions

2017 ◽  
Author(s):  
Francois Guay ◽  
Gustavo Schwenkler
Keyword(s):  
Parameter Estimation ◽  
Jump Diffusions

Modeling Copper Prices: Ornstein-Uhlenbeck Process and Jump-Diffusions

2012 ◽  
Vol 461 ◽  
pp. 793-796
Author(s):  
Xi Bing Li ◽  
Yu Xi Hu ◽  
Zhen Zhong Zhang ◽  
Xin Ru Liu
Keyword(s):  
Parameter Estimation ◽  
Moment Method ◽  
Futures Market ◽  
Uhlenbeck Process ◽  
Jump Diffusions ◽  
Ornstein Uhlenbeck Process ◽  
Futures Price ◽  
Generalized Moment

In this paper we focus on parameter estimation of the futures price processes with a Ornstein-Uhlenbeck process and jump-diffusions. We use the generalized moment method to derive the OU process. Afterwards, we fit a jump diffusions model to Copper prices from Shanghai Copper futures market.

Weighted Combination of Prior and Sample Information and Parameter Estimation

Optimization ◽  
1976 ◽  
Vol 7 (5) ◽  
pp. 665-672
Author(s):  
H. Burke ◽  
C. Hennig ◽  
W H. Schmidt
Keyword(s):  
Parameter Estimation ◽  
Sample Information ◽  
Weighted Combination

Sequential accuracy in parameter estimation for population correlation coefficients.

2019 ◽  
Vol 24 (4) ◽  
pp. 492-515 ◽  
Author(s):  
Ken Kelley ◽  
Francis Bilson Darku ◽  
Bhargab Chattopadhyay
Keyword(s):  
Parameter Estimation ◽  
Correlation Coefficients ◽  
Population Correlation

Parameter Estimation for Industrial Servomotor by Using Statistical Hypothesis Test

2019 ◽  
Vol 19 (2) ◽  
pp. 134-140
Author(s):  
Baek-Ju Sung ◽  
Sung-kyu Lee ◽  
Mu-Seong Chang ◽  
Do-Sik Kim
Keyword(s):  
Parameter Estimation ◽  
Hypothesis Test ◽  
Statistical Hypothesis ◽  
Statistical Hypothesis Test
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