Calculation of Functionals Based on Large Dimension Matrixes in Maximal Likelihood Problems

• Autorzy: Medvedev G.
• Konferencja: Proceedings of the IX Conference "Applications of algebra" (9 ; 07-13.03.2005 ; Zakopane, Poland)
• Języki publikacji: EN

Abstrakty

EN

The problem of the likelihood function calculation is examined AT parameter estimation of the stochastic process describing the change of interest rates in the financial market. Such a problem arises, when it is supposed that the process is not a usual diffusion process, but posesses continuous derivatives. In this case the increments of the proccess become correlated, and for the likelihood function evaluation it is necessary to invert a matrix of the high order equal to sample size. As it is known the calculation of reciprocal matrixes of the high order either is impossible or results in essential error of calculation. In this paper the way to avoid this difficulty is offered.

Słowa kluczowe

EN

likelihood function; interest rate; financial market

PL

funkcja wiarogodności; stopy procentowe; rynek finansowy

• Wydawca: Wydawnictwo Uniwersytetu Humanistyczno-Przyrodniczego im. Jana Długosza w Częstochowie
• Czasopismo: Scientific Issues of Jan Długosz University in Częstochowa. Mathematics
• Rocznik: 2005
• Tom: Vol. 10
• Strony: 95--105
• Opis fizyczny: Bibliogr. 9 poz., tab.

Twórcy

autor

Medvedev G.

• Institute of Mathematics and Computer Science Jan Długosz University of Częstochowa al. Armii Krajowej 13/1SJ 42-200 Częstochowa, Poland

Bibliografia

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