Two types of recursive estimators are developed for the variance components 2 and 2 of the dynamic linear model: non-Bayesian and Bayesian. From a frequentist point of view, both types of estimators are mean square consistent. The non-Bayesian estimator of 2 is also unbiased.
โฆ LIBER โฆ
The impact of variance estimation in option valuation models
โ Scribed by Phelim P. Boyle; A.L. Ananthanarayanan
- Book ID
- 116126492
- Publisher
- Elsevier Science
- Year
- 1977
- Tongue
- English
- Weight
- 684 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0304-405X
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