Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate.
Tianshun YanYanyong ZhaoWentao WangPublished in: Comput. Stat. (2020)
Keyphrases
- short term
- semi parametric
- diffusion model
- long term
- anisotropic diffusion
- regression model
- least squares
- density estimation
- constrained optimization
- statistical inference
- linear model
- markov chain
- load forecasting
- forecasting model
- diffusion process
- information diffusion
- maximum likelihood
- parametric models
- neural network