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Topic: Possible to estimate a unknown barrier from only one realization of time series?
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networm

Posts: 327
Registered: 10/6/05
Possible to estimate a unknown barrier from only one realization of time series?
Posted: Jul 12, 2006 2:41 AM
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Suppose I model an observed process Ct as a discretized Geometric
Brownian Motion process.

And there is a unknown but fixed/constant barrier, initially below the
process Ct.

If the process Ct hits the barrier, Ct will become zero ever since.

I observe the time series up until time t(the current time), and I know
at each sample point, the process did not hit the unknown barrier yet.

Can I estimate the three parameters (mu, sigma, barrier) from this one
realization of the time-sereis? (mu and sigma are for the GBM. )




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