Kalman filter and maximum likelihood estimation to asset return

被引：0
|
作者：
Cai, Yan-Ping [1 ]
Yang, Zhao-Jun [2 ]
机构：
[1] School of Business Management, Hunan University, Changsha 410082, China
[2] School of Economics and Trade, Hunan University, Changsha 410079, China
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2007年 / 27卷 / 12期
关键词：
Maximum likelihood estimation - Brownian movement - Intelligent systems - Bandpass filters - Monte Carlo methods;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
It is common to take geometric Brownian motion as a model for asset prices but it is difficult to get a good estimation to the drift coefficient. Utilizing statistical filter techniques, this paper provides the Kalman filter estimation for the drift coefficient. The comparison between the Kalman filter and the maximum likelihood approach is presented. We also show an example by Monte Carlo simulation. The results explain that the Kalman filter appears much superior to the maximum likelihood estimation.
引用
收藏
页码：139 / 144
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