In this paper we investigate the estimation problem for a model of the commodity prices. This model is a stochastic state space dynamical model and the problem unknowns are the state variables and the system parameters. Data are represented by the commodity spot prices, very seldom time series of Futures contracts are available for free. Both the system joint likelihood function (state variables and parameters) and the system marginal likelihood (the state variables are eliminated) function are addressed.
In this paper we investigate the estimation problem for a model of the commodity prices. This model is a stochastic state space dynamical model and the problem unknowns are the state variables and the system parameters. Data are represented by the commodity spot prices, very seldom time series of Futures contracts are available for free. Both the system joint likelihood function (state variables and parameters) and the system marginal likelihood (the state variables are eliminated) function are addressed.
A black box optimization approach to parameter estimation in a model for long/short term variations dynamics of commodity prices / DE SANTIS, Alberto; Umberto, Dellepiane; Lucidi, Stefano. - STAMPA. - 1493:(2012), pp. 312-316. (Intervento presentato al convegno 9th International Conference on Mathematical Problems in Engineering, Aerospace and Sciences tenutosi a Vienna, AUSTRIA nel JUL 10-14, 2012) [10.1063/1.4765506].
A black box optimization approach to parameter estimation in a model for long/short term variations dynamics of commodity prices
DE SANTIS, Alberto;LUCIDI, Stefano
2012
Abstract
In this paper we investigate the estimation problem for a model of the commodity prices. This model is a stochastic state space dynamical model and the problem unknowns are the state variables and the system parameters. Data are represented by the commodity spot prices, very seldom time series of Futures contracts are available for free. Both the system joint likelihood function (state variables and parameters) and the system marginal likelihood (the state variables are eliminated) function are addressed.| File | Dimensione | Formato | |
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