| 基于时间序列数据Hull-White模型半参数估计方法 |
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| 引用本文： | 江良.基于时间序列数据Hull-White模型半参数估计方法[J].莆田学院学报,2013(5):1-4. |
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| 作者姓名： | 江良 |
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| 作者单位： | 莆田学院数学学院,福建莆田351100 |
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| 基金项目： | 国家自然科学基金资助项目（11001142）;福建省教育厅基金资助项目（JA09201,JB07153） |
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| 摘 要： | 基于时间序列数据,对Hull-White短期利率模型进行半参数估计。通过两阶段估计方法,原半参数估计模型转化为非参数估计模型和全参数估计模型。前者使用核函数估计方法,后者使用极大似然估计,从而简化整个参数估计过程。实证的结果表明,在给定合适窗宽条件下,基于Hull-White模型的似然值将得到改善。
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| 关 键 词： | 时间序列数据 Hull-White模型 半参数估计 非参数估计 |
Semi-parametric Estimation for Hull-White Model via Time Series Data |
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| JIANG Liang.Semi-parametric Estimation for Hull-White Model via Time Series Data[J].journal of putian university,2013(5):1-4. |
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| Authors: | JIANG Liang |
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| Institution: | JIANG Liang (College of Mathematics, Putian University, Putian Fujian 351100, China) |
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| Abstract: | Semi-parametric estimation approach for Hull-White model was presented via time series data. To simplify the estimation process, tow-step procedure was used to break the semi-parametric model into two simple sub problems. Parameterized model was used by the former, while nonparametric model was used by the latter. Empirical evidences support that the value of the likelihood will be improved for Hull-White model under a suitable value of bandwidth. |
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| Keywords: | time series data Hull-White model semi-parametric estimation nonparametric estimation |
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