Show simple item record

dc.contributor.authorZhou, Y.
dc.contributor.authorGe, X.
dc.contributor.authorWu, Yong Hong
dc.contributor.authorTian, T.
dc.date.accessioned2018-12-13T09:09:11Z
dc.date.available2018-12-13T09:09:11Z
dc.date.created2018-12-12T02:46:42Z
dc.date.issued2018
dc.identifier.citationZhou, Y. and Ge, X. and Wu, Y.H. and Tian, T. 2018. Inference of Term Structure Models, pp. 553-558.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/71184
dc.identifier.doi10.1109/IIKI.2016.74
dc.description.abstract

© 2016 IEEE. Compared with deterministic models, the key feature of a stochastic differential equation (SDE) model is its ability to generate a large number of different trajectories. To tackle the challenge, a number of methods have been proposed to infer reliable estimates. But these methods dominantly used the explicit methods for solving SDEs, and thus are not appropriate to deal with experimentaldata with large variations. In this work we develop a new method by using implicit methods to solve SDEs, which is aimed at generating stable simulations for stiff SDE models. The particle swarm optimization method is used as an efficient searching method to explore the optimal estimate in the complex parameter space. Using the interest term structure model as the test system, numerical results showed that the proposed new method is an effective approach for generating reliable estimates of unknown parameters in SDE models.

dc.titleInference of Term Structure Models
dc.typeConference Paper
dcterms.source.volume2018-January
dcterms.source.startPage553
dcterms.source.endPage558
dcterms.source.titleProceedings - 2016 International Conference on Identification, Information and Knowledge in the Internet of Things, IIKI 2016
dcterms.source.seriesProceedings - 2016 International Conference on Identification, Information and Knowledge in the Internet of Things, IIKI 2016
dcterms.source.isbn9781509059522
curtin.departmentSchool of Electrical Engineering, Computing and Mathematical Science (EECMS)
curtin.accessStatusFulltext not available


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record