Curtin University Homepage
  • Library
  • FAQ
    • Log in

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    Estimation of parameters in mean-reverting stochastic systems

    198775_113525_317059.pdf (2.206Mb)
    Access Status
    Open access
    Authors
    Tian, T.
    Zhou, Y.
    Wu, Yong Hong
    Ge, X.
    Date
    2014
    Collection
    • Curtin Research Publications
    Type
    Journal Article
    Metadata
    Show full item record
    Abstract

    Stochastic differential equation (SDE) is a very important mathematical tool to describe complex systems in which noise plays an important role. SDE models have been widely used to study the dynamic properties of various nonlinear systems in biology, engineering, finance, and economics, as well as physical sciences. Since a SDE can generate unlimited numbers of trajectories, it is difficult to estimate model parameters based on experimental observations which may represent only one trajectory of the stochastic model. Although substantial research efforts have been made to develop effective methods, it is still a challenge to infer unknown parameters in SDE models from observations that may have large variations. Using an interest rate model as a test problem, in this work we use the Bayesian inference and Markov Chain Monte Carlo method to estimate unknown parameters in SDE models.

    Citation
    Tian, Tianhai and Zhou, Yanli and Wu, Yonghong and Ge, Xiangyu. 2014. Estimation of parameters in mean-reverting stochastic systems. Mathematical Problems in Engineering. 2014: (Article ID 317059): pp. 1-8.
    Source Title
    Mathematical Problems in Engineering
    URI
    http://hdl.handle.net/20.500.11937/31895
    DOI
    10.1155/2014/317059
    Remarks

    This article is published under the Open Access publishing model and distributed under the terms of the Creative Commons Attribution License http://creativecommons.org/licenses/by/3.0/. Please refer to the licence to obtain terms for any further reuse or distribution of this work.

    Related items

    Showing items related by title, author, creator and subject.

    • Efficient duration modelling in the hierarchical hidden semi-Markov models and their applications
      Duong, Thi V. T. (2008)
      Modeling patterns in temporal data has arisen as an important problem in engineering and science. This has led to the popularity of several dynamic models, in particular the renowned hidden Markov model (HMM) [Rabiner, ...
    • Estimation of tropospheric wet delay from GNSS measurements
      Lo, Johnny Su Hau (2011)
      The determination of the zenith wet delay (ZWD) component can be a difficult task due to the dynamic nature of atmospheric water vapour. However, precise estimation of the ZWD is essential for high-precision Global ...
    • On conditional random fields: applications, feature selection, parameter estimation and hierarchical modelling
      Tran, The Truyen (2008)
      There has been a growing interest in stochastic modelling and learning with complex data, whose elements are structured and interdependent. One of the most successful methods to model data dependencies is graphical models, ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorsTitlesSubjectsDocument TypesThis CollectionIssue DateAuthorsTitlesSubjectsDocument Types

    My Account

    Log in

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Connect with Curtin

    • 
    • 
    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Send FeedbackContact Us
    DSpace software copyright © 2002-2015  DuraSpace