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Description
  • Je řešen estimační problém pro odhad stavu stochasticky neurčitého modelu. Tyto modely jsou důležité ve finanční ekonometrii. Je odvozen rekurzivní vztah pro výpočet Cramér-Raovy meze pro odhad stavu. Pozornost je věnovaná i regularitě úlohy. Mez slouží jako měřítko kvality nelineárního filtru. (cs)
  • Estimation problem for the stochastic volatility (SV) model, which is significant in financial conometrics, is discussed. Recursive relations for computation of the Cramér-Rao (CR) bound are derived for state and parameter estimation of this model. An attention is paid to regularity conditions for CR bound calculation. As the CR bound represents a lower bound of the mean-square error of an estimate, it can serve as a gauge of quality of nonlinear estimators for the SV model.
  • Estimation problem for the stochastic volatility (SV) model, which is significant in financial conometrics, is discussed. Recursive relations for computation of the Cramér-Rao (CR) bound are derived for state and parameter estimation of this model. An attention is paid to regularity conditions for CR bound calculation. As the CR bound represents a lower bound of the mean-square error of an estimate, it can serve as a gauge of quality of nonlinear estimators for the SV model. (en)
Title
  • Cramér-Rao bound for stochastic volatility model
  • Cramér-Rao bound for stochastic volatility model (en)
  • Cramér-Raova mez pro stochasticky neurčitý model (cs)
skos:prefLabel
  • Cramér-Rao bound for stochastic volatility model
  • Cramér-Rao bound for stochastic volatility model (en)
  • Cramér-Raova mez pro stochasticky neurčitý model (cs)
skos:notation
  • RIV/49777513:23520/03:00000084!RIV07-GA0-23520___
http://linked.open.../vavai/riv/strany
  • 173-178
http://linked.open...avai/riv/aktivita
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  • P(GA102/01/0021), Z(MSM 235200004)
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  • 602368
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  • RIV/49777513:23520/03:00000084
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  • nonlinear models; Cramér-Rao bound; nonlinear filters; financial systems; stochastic systems (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [57E04A345A7A]
http://linked.open...i/riv/mistoVydani
  • Oxford
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  • PROCEEDINGS OF THE 15TH IFAC WORLD CONGRESS
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  • Šimandl, Miroslav
  • Královec, Jakub
http://linked.open...n/vavai/riv/zamer
number of pages
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  • Elsevier
https://schema.org/isbn
  • 0-08-044233-1
http://localhost/t...ganizacniJednotka
  • 23520
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