On the Efficiency and Robustness of Commingle Wiener and Lévy Driven Processes for Vasciek Model

International Journal of Information Technology

Rasaki O. Olanrewaju

关键词: Wiener process;    Lévy process;    Vasciek model;    drift;    diffusion;    Gaussian density stationary.;   

DOI  :  10.1999/1307-6892/10009776

学科分类：计算机应用

来源: World Academy of Science, Engineering and Technology (W A S E T)

【 摘 要 】

The driven processes of Wiener and Lévy are known self-standing Gaussian-Markov processes for fitting non-linear dynamical Vasciek model. In this paper, a coincidental Gaussian density stationarity condition and autocorrelation function of the two driven processes were established. This led to the conflation of Wiener and Lévy processes so as to investigate the efficiency of estimates incorporated into the one-dimensional Vasciek model that was estimated via the Maximum Likelihood (ML) technique. The conditional laws of drift, diffusion and stationarity process was ascertained for the individual Wiener and Lévy processes as well as the commingle of the two processes for a fixed effect and Autoregressive like Vasciek model when subjected to financial series; exchange rate of Naira-CFA Franc. In addition, the model performance error of the sub-merged driven process was miniature compared to the self-standing driven process of Wiener and Lévy.

【 授权许可】

Unknown