Download or read book Ill posedness of Parameter Estimation in Jump Diffusion Processes written by Dana Düvelmeyer and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Parameter Estimation for the Drift of a Time inhomogeneous Jump Diffusion Process written by Brice Franke and published by . This book was released on 2010 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Parameters Estimation for Jump diffusion Process Based on Low and High Frequency Data written by Cai Zhu and published by . This book was released on 2011 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inference and Parameter Estimation for Diffusion Processes written by Simon Lyons and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Parameter Estimation in Stochastic Volatility Models written by Jaya P. N. Bishwal and published by Springer Nature. This book was released on 2022-08-06 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.

Download or read book Robust Drift Parameter Estimation in Diffusion Processes written by Sévérien Nkurunziza and published by . This book was released on 2009 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Filtering and Likelihood Estimation of Latent Factor Jump Diffusions with an Application to Stochastic Volatility Models written by Francesco Esposito and published by . This book was released on 2015 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article we use a partial integral-differential approach to construct and extend a non-linear filter to include jump components in the system state. We employ the enhanced filter to estimate the latent state of multivariate parametric jump-diffusions. The devised procedure is flexible and can be applied to non-affine diffusions as well as to state dependent jump intensities and jump size distributions. The particular design of the system state can also provide an estimate of the jump times and sizes. With the same approch by which the filter has been devised, we implement an approximate likelihood for the parameter estimation of models of the jump-diffusion class. In the development of the estimation function, we take particular care in designing a simplified algorithm for computing. The likelihood function is then characterised in the application to stochastic volatility models with jumps. In the empirical section we validate the proposed approach via Monte Carlo experiments. We deal with the volatility as an intrinsic latent factor, which is partially observable through the integrated variance, a new system state component that is introduced to increase the filtered information content, allowing a closer tracking of the latent volatility factor. Further, we analyse the structure of the measurement error, particularly in relation to the presence of jumps in the system. In connection to this, we detect and address an issue arising in the update equation, improving the system state estimate.

Download or read book Estimation of Jump diffusion Processes Via Empirical Characteristic Functions written by Maria Semenova and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thèse. HEC. 2006

Download or read book Global Energy Policy and Security written by Walter Leal Filho and published by Springer Science & Business Media. This book was released on 2013-09-03 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite efforts to increase renewables, the global energy mix is still likely to be dominated by fossil-fuels in the foreseeable future, particularly gas for electricity and oil for land, air and sea transport. The reliance on depleting conventional oil and natural gas resources and the geographic distribution of these reserves can have geopolitical implications for energy importers and exporters. Global Energy Policy and Security examines the security of global and national energy supplies, as well as the sensitivity and impacts of sustainable energy policies which emphasize the various political, economic, technological, financial and social factors that influence energy supply, demand and security. Multidisciplinary perspectives provide the interrelated topics of energy security and energy policy within a rapidly changing socio-political and technological landscape during the 21st century. Included are two main types of interdisciplinary papers. One set of papers deals with technical aspects of energy efficiency, renewable energy and the use of tariffs. The other set of papers focuses on social, economic or political issues related to energy security and policy, also describing research, practical projects and other concrete initiatives being performed in different parts of the world. This book will prove useful to all those students and researchers interested in the connections between energy production, energy use, energy security and the role of energy policies.

Download or read book Estimation for Diffusion Processes Under Misspecified Models written by Ian W. McKeague and published by . This book was released on 1983 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The asymptotic behavior of the maximum likelihood estimator of a parameter in the drift term of a stationary ergodic diffusion process is studied under conditions in which the true drift function and the true noise function do not coincide with those specified by the parametric model. Originator-supplied key words include: Diffusion, Differential Equations.

Download or read book Experimental Vibration Analysis for Civil Engineering Structures written by Maria Pina Limongelli and published by Springer Nature. This book was released on 2023-08-28 with total page 782 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents peer-reviewed contributions from the 10th International Conference on Experimental Vibration Analysis for Civil Engineering Structures (EVACES), held in Milan, Italy on August 30-September 1, 2023. The event brought together engineers, scientists, researchers, and practitioners, providing a forum for discussing and disseminating the latest developments and achievements in all major aspects of dynamic testing for civil engineering structures, including instrumentation, sources of excitation, data analysis, system identification, monitoring and condition assessment, in-situ and laboratory experiments, codes and standards, and vibration mitigation. The topics included but were not limited to: damage identification and structural health monitoring; testing, sensing and modeling; vibration isolation and control; system and model identification; coupled dynamical systems (including human–structure, vehicle–structure, and soil–structure interaction); and application of advanced techniques involving the Internet of Things, robot, UAV, big data and artificial intelligence.

Download or read book Some Stability Results of Parameter Identification in a Jump Diffusion Model written by Dana Düvelmeyer and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Estimation of Volatilities Under a Merton s Jump diffusion Model and an Uncertain Volatility Model written by Changhong He and published by . This book was released on 2005 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inverse and Ill Posed Problems written by Heinz W. Engl and published by Elsevier. This book was released on 2014-05-10 with total page 585 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inverse and Ill-Posed Problems is a collection of papers presented at a seminar of the same title held in Austria in June 1986. The papers discuss inverse problems in various disciplines; mathematical solutions of integral equations of the first kind; general considerations for ill-posed problems; and the various regularization methods for integral and operator equations of the first kind. Other papers deal with applications in tomography, inverse scattering, detection of radiation sources, optics, partial differential equations, and parameter estimation problems. One paper discusses three topics on ill-posed problems, namely, the imposition of specified types of discontinuities on solutions of ill-posed problems, the use of generalized cross validation as a data based termination rule for iterative methods, and also a parameter estimation problem in reservoir modeling. Another paper investigates a statistical method to determine the truncation level in Eigen function expansions and for Fredholm equations of the first kind where the data contains some errors. Another paper examines the use of singular function expansions in the inversion of severely ill-posed problems arising in confocal scanning microscopy, particle sizing, and velocimetry. The collection can benefit many mathematicians, students, and professor of calculus, statistics, and advanced mathematics.

Download or read book Parametric Estimation of Diffusion Processes Sampled at First Exit Times written by Jaime Alberto Londoño and published by . This book was released on 1998 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exact Simulation of Jump diffusions written by Dmitry Smelov and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis treats the problems of exact simulation and parameter inference for jump-diffusion processes. It has two parts. The first part develops a method for the exact simulation of a skeleton, a hitting time and other functionals of a one-dimensional jump-diffusion with state-dependent drift, volatility, jump intensity and jump size. The method requires the drift function to be C1, the volatility function to be C2, and the jump intensity function to be locally bounded. No further structure is imposed on these functions. The method leads to unbiased simulation estimators of security prices, transition densities, hitting probabilities, and other quantities. Numerical results illustrate its features. The second part develops and analyzes likelihood estimators for the parameters of a discretely-observed jump diffusion. We consider the case when the transition density of the process admits an expansion in terms of an infinite series. A randomization technique leads to an unbiased Monte Carlo estimator of the transition density and the likelihood function. We provide conditions under which resulting likelihood estimators are consistent and asymptotically normal. The method avoids the second-order bias of conventional discretization-based estimators. Unlike the estimators based directly on the density expansion, we do not require high-frequency observations. Numerical results confirm the method's properties.

Download or read book A Note on Uniqueness of Parameter Identification in a Jump Diffusion Model written by Hans-Jörg Starkloff and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: