Bayesian Estimation of CIR Model

Journal of Data Science

article

Xiaoxia Feng¹  Dejun Xie² 

[1] Xi’an Jiaotong University;Xi’an Jiaotong-Liverpool University

关键词: Bayesian estimation;    CIR model;    Gibbs sampler;    MCMC method;   

DOI  :  10.6339/JDS.2012.10(2).746

学科分类：土木及结构工程学

来源: JDS

【 摘 要 】

This article concerns the Bayesian estimation of interest rate mod els based on Euler-Maruyama approximation. Assume the short term inter est rate follows the CIR model, an iterative method of Bayesian estimation is proposed. Markov Chain Monte Carlo simulation based on Gibbs sam pler is used for the posterior estimation of the parameters. The maximum A-posteriori estimation using the genetic algorithm is employed for finding the Bayesian estimates of the parameters. The method and the algorithm are calibrated with the historical data of US Treasury bills.

【 授权许可】

CC BY