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)