| 带有序列相关噪声Vasicek期限结构模型的线性滤波(英文) |
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| 引用本文： | 吴姝,刘思峰.带有序列相关噪声Vasicek期限结构模型的线性滤波(英文)[J].南京航空航天大学学报(英文版),2011,28(3):309-314. |
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| 作者姓名： | 吴姝 刘思峰 |
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| 作者单位： | 南京航空航天大学经济与管理学院,南京,210016,中国 |
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| 摘 要： | 在基于Vasicek利率期限结构模型,使用Kalman滤波器进行状态估计时,通常采用量测噪声不相关假设。研究表明,量测噪声在很多情况下满足相关性假设。本文采用一般性的相关量测噪声假设,提出针对Vasicek模型潜变量估计的状态扩维Kalman滤波法。实验结果表明,量测噪声相关假设下的Vasicek模型比较准确地描述了利率期限结构的动态变化特征。
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| 关 键 词： | Vasicek期限结构模型 扩维卡尔曼滤波 序列相关噪声 状态估计 |
LINEAR FILTERING FOR VASICEK TERM STRUCTURE MODEL WITH SEQUENTIALLY CORRELATED NOISE |
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| Wu Shu,Liu Sifeng.LINEAR FILTERING FOR VASICEK TERM STRUCTURE MODEL WITH SEQUENTIALLY CORRELATED NOISE[J].Transactions of Nanjing University of Aeronautics & Astronautics,2011,28(3):309-314. |
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| Authors: | Wu Shu Liu Sifeng |
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| Institution: | Wu Shu,Liu Sifeng(College of Economics and Management,NUAA,29 Yudao Street,Nanjing,210016,P.R.China) |
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| Abstract: | When Kalman filter is used in the estimation of Vasicek term structure of interest rates,it is usual to assume that the measurement noise is uncorrelated.Study results are more favorable to the assumption of correlated measurement noise.An augmented state Kalman filter form for Vasicek model is proposed to optimally estimate the unobservable state variable with the assumption of correlated measurement noise.Empirical results indicate that the model with sequentially correlated measurement noise can more acc... |
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| Keywords: | Vasicek term structure model augmented Kalman filter sequentially correlated noise state estimation |
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