scholarly journals Asymptotic Properties of Recursive Particle Maximum Likelihood Estimation

2019 ◽  
Author(s):  
Vladislav Z. B. Tadic ◽  
Arnaud Doucet
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Asymptotic Properties ◽  
Likelihood Estimation

The Pricing Problem

1987 ◽  
Vol 1 (3) ◽  
pp. 349-366
Author(s):  
Jaxk H. Reeves ◽  
Ashim Mallik ◽  
William P. McCormick
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
High Efficiency ◽  
Asymptotic Properties ◽  
Likelihood Estimation ◽  
Small Sample ◽  
Sequential Procedure ◽  
Pricing Scheme ◽  
Simulation Results ◽  
Small Sample Sizes

A sequential procedure to select optimal prices based on maximum likelihood estimation is considered. Asymptotic properties of the pricing scheme and the concommitant estimation problem are examined. For small sample sizes, simulation results show that the proposed procedure has high efficiency relative to the best procedure when the parameter is known.

Maximum likelihood estimation for sub-fractional Vasicek model

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
B. L. S. Prakasa Rao
Keyword(s):  
Brownian Motion ◽  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Fractional Brownian Motion ◽  
Asymptotic Properties ◽  
Maximum Likelihood Estimators ◽  
Likelihood Estimation ◽  
Vasicek Model ◽  
Model Driven

Abstract We investigate the asymptotic properties of maximum likelihood estimators of the drift parameters for the fractional Vasicek model driven by a sub-fractional Brownian motion.

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