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

著者

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

キーワード:

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

要旨

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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発行日

2012-06-11

巻号

巻 2 号 1 (2012)

セクション

Review Articles

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