Edgeworth expansion for the distribution of the maximum likelihood estimate in the Vasicek model
Year of publication: |
2019
|
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Authors: | Zhu, Qinwen ; Liu, Hui ; Sun, Chengfeng |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 14.2019, 1, p. 1-26
|
Subject: | Vasicek model | likelihood ratio | parameter estimation | Edgeworth expansion | mean-reversion speed | maximum likelihood estimation | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
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