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  • 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
  • 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 (en)
  • 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 (cs)
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/49777513:23520/05:00000238!RIV06-GA0-23520___
http://linked.open.../vavai/riv/strany
  • 173-178
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA102/01/0021), Z(MSM 235200004)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...dnocenehoVysledku
  • 516520
http://linked.open...ai/riv/idVysledku
  • RIV/49777513:23520/05:00000238
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • nonlinear models; Cramér-Rao bound; nonlinear filters; financial systems; stochastic systems (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [D777F93797E8]
http://linked.open...v/mistoKonaniAkce
  • Barcelona
http://linked.open...i/riv/mistoVydani
  • Oxford
http://linked.open...i/riv/nazevZdroje
  • Proceedings of the 15th IFAC world congress
http://linked.open...in/vavai/riv/obor
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http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Šimandl, Miroslav
  • Královec, Jakub
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Pergamon
https://schema.org/isbn
  • 0-08-044233-1
http://localhost/t...ganizacniJednotka
  • 23520
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