Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Estimating Models Based on Markov Jump Processes Given Fragmented Observation Series

Workshop: Concluding Workshop

Time: Tue, December 02, 2008, 11:15-11:45

Speaker: Markus Hahn


We consider the problem of estimating the rate matrix governing a continuous-time finite-state Markov process given a number of (short) observation series. Such a situation arises naturally whenever there is some sort of break in the data; for financial data think of weekends for daily data or nights for tick-by-tick data. We propose to concatenate the observed series and to employ the emerging (non-Markov) process. We describe the bias arising if standard methods for Markov processes are used for the concatenated process, and provide a post-processing method to correct for this bias. This method works with any estimation approach (maximum likelihood / Bayesian / moment-based) and also applies to general models based on Markov jump processes where the underlying state process is not observed directly.

Presentation slides (pdf, 448 KB)

< Back | ^ Top

URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php

This page was made with 100% valid HTML & CSS - Send comments to Webmaster
Today's date and time is 11/28/22 - 15:16 CEST and this file (/specsem/sef/events/program/presentation.php) was last modified on 12/18/12 - 14:00 CEST