Control variates for variance reduction in indirect inference: Interest rate models in continuous time
نویسندگان
چکیده
منابع مشابه
Discrete-Time Continuous-State Interest Rate Models
We show how to implement arbitrage-free models of the short-term interest rate in a discretetime setting that allows a continuum of rates at any particular date. Discrete time allows approximate pricing of interest rate contingent claims that cannot be valued in continuous-time models. It is usually associated with discrete states, with possible interest rates restricted to a limited number of ...
متن کاملA minimum Hellinger distance estimator for stochastic differential equations: An application to statistical inference for continuous time interest rate models
A Minimum Disparity Distance Estimator minimizes a φ-divergence between the marginal density of a parametric model and its non-parametric estimate. This principle is applied to the estimation of stochastic differential equation models, choosing the Hellinger distance as particular φ−divergence. Under an hypothesis of stationarity, the parametric marginal density is provided by solving the Kolmo...
متن کاملInference in continuous-time change-point models
We consider the problem of Bayesian inference for continuous-time multi-stable stochastic systems which can change both their diffusion and drift parameters at discrete times. We propose exact inference and sampling methodologies for two specific cases where the discontinuous dynamics is given by a Poisson process and a two-state Markovian switch. We test the methodology on simulated data, and ...
متن کاملOn reducing sampling variance in covariate shift using control variates
Covariate shift classification problems can in principle be tackled by importanceweighting training samples. However, the sampling variance of the risk estimator is often scaled up dramatically by the weights. This means that during cross-validation when the importance-weighted risk is repeatedly evaluated suboptimal hyperparameter estimates are produced. We study the sampling variances of the ...
متن کاملInterest Rate Policy in Continuous Time with Discrete Delays ∗
We study the design of monetary policy in a continuous time framework with delays. More explicitly, we consider a linear, flexible price model where inflation and nominal interest rates chage continously, but where nominal rates are set by the Central bank in response to a lagged inflation measure, and where the measure of inflation can be constructed as a flexible distributed delay. Therefore ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 1998
ISSN: 1368-4221,1368-423X
DOI: 10.1111/1368-423x.11006