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Control variates for variance reduction in indirect inference : interest rate models in continuous time

Calzolari, Giorgio; Di Iorio, Francesca; Fiorentini, … - In: The econometrics journal 1 (1998) 1, pp. 100-112

Persistent link: https://www.econbiz.de/10001443683

Control variates for variance reduction in indirect inference : interest rate models in continuous time

Calzolari, Giorgio; Di Iorio, Francesca; Fiorentini, … - 1998 - 1. ed

Persistent link: https://www.econbiz.de/10000985961

Indirect inference and variance reduction using control variates

Calzolari, Giorgio; Iorio, Francesca Di; Fiorentini, … - In: Metron - International Journal of Statistics LIX (2001) 1-2, pp. 39-53

Persistent link: https://www.econbiz.de/10005058299

- CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME

Fiorentini, Gabriele; Iorio, Francesca Di; Calzolari, … - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1998

Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating stochastic differential equations. They adjust for the bias (inconsistency) caused by discretization of the underlying stochastic process, which is in continuous time. The...

Persistent link: https://www.econbiz.de/10005731423