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Results tagged with estimation
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user 6866
The calculated approximation of a result which is usable even if input data may be incomplete or uncertain.
15
votes
3
answers
5k
views
Estimating Parameters - Vasicek
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$$
We may then use some fancy estimation procedure to estimate the parameters $a,b$ and $\sigma$ through the observed yields. …
- 2,828
0
votes
0
answers
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Approximating an SDE for Volatility Estimation
Consider the SDE
$$
dT(t) = ds(t) + a(s(t) - T(t))dt + \sigma dW(t)
$$
where $s(t)$ is a deterministic function that turns out to be the long-term mean (this SDE is used to model daily temperature, so …
- 2,828