In this paper we perform a Monte Carlo simulation study to compare the performance of several parameters estimators in the Vasicek process when small sample sizes are available. The aim is to give useful insights to establish which estimator is better when only short time series, with a length between 20 and 200, are observed.
A Comparison Among Alternative Parameters Estimators in the Vasicek Process: A Small Sample Analysis
Giuseppina Albano
Membro del Collaboration Group
;Michele La RoccaMembro del Collaboration Group
;Cira PernaMembro del Collaboration Group
2021-01-01
Abstract
In this paper we perform a Monte Carlo simulation study to compare the performance of several parameters estimators in the Vasicek process when small sample sizes are available. The aim is to give useful insights to establish which estimator is better when only short time series, with a length between 20 and 200, are observed.File in questo prodotto:
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