The Estimation of Time-varying Parameters – A Malliavin Calculus Approach

Autori

  • Ahmed Abutaleb MIT/Lincoln Lab, Lexington, Mass, USA

Parole chiave:

Ito calculus, Malliavin calculus, Malliavin derivative, time-varying parameters, time-series analysis

Abstract

The Malliavin derivative of the Malliavin calculus is used to estimate the time-varying amplitudes that appear in the sum of signals or time-varying regression models. A closed form solution is obtained for the estimates of the time-varying amplitudes. The duality principle of the Malliavin calculus is then used to find a numerically tractable expression for the estimates. Given are examples and comparisons to existing methods. Keywords: Ito calculus, Malliavin calculus, Malliavin derivative, time-varying parameters, time-series analysis

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Pubblicato

2012-06-11

Fascicolo

V. 2 N. 1 (2012)

Sezione

Review Articles

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