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A Comparison Among Alternative Parameters Estimators in the Vasicek Process: A Small Sample Analysis

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Giuseppina Albano

    (Università di Salerno)

  • Michele La Rocca

    (Università di Salerno)

  • Cira Perna

    (Università di Salerno)

Abstract

In this paper we perform a Monte Carlo simulation study to compare the performance of several parameters estimators in the Vasicek process when small sample sizes are available. The aim is to give useful insights to establish which estimator is better when only short time series, with a length between 20 and 200, are observed.

Suggested Citation

  • Giuseppina Albano & Michele La Rocca & Cira Perna, 2021. "A Comparison Among Alternative Parameters Estimators in the Vasicek Process: A Small Sample Analysis," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 1-6, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-78965-7_1
    DOI: 10.1007/978-3-030-78965-7_1
    as

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