Difūzijas procesu parametru novērtēšanas metodes

6533b827fe1ef96bd1285616

RESEARCH PRODUCT

Difūzijas procesu parametru novērtēšanas metodes

subject

maksimālās ticamības funkcija Ornšteina-Ulenbeka process Matemātika empīriskā ticamības funkcija Vasičeka modelis Stohastiskie diferenciālvienādojumi

description

Maģistra darbā tika aplūkotas divas difūzijas procesu parametru novērtēšanas metodes maksimālās ticamības funkcijas metode un empīriskās ticamības funkcijas metode. Darbā ir aprakstīti difūzijas procesi, stohastiskie diferenciālvienādojumi, Ornšteina-Ulenbeka process, Vasičeka modelis, Koksa-Ingersolla-Rossa modelis. Darba mērķis ir novērtēt Vasičeka modeļa parametrus, izmantojot maksimālās ticamības funkcijas novērtējumu un empīriskās ticamības funkcijas novērtējumu un salīdzināt rezultātus. Vasičeka modelis tika pielietots reāliem datiem un aprēķināti modeļa parametri ar parametrisko un neparametrisko metodi.

year	journal	country	edition	language
2020-01-01

https://dspace.lu.lv/dspace/handle/7/51014

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