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- W396416095 abstract "We consider some statistical questions arising in a discrete time Heath-JarrowMorton (HJM) type forward interest rate model, where the interest rate curves are driven by a geometric spatial autoregression field. Such models were proposed by Gall, Pap and Zuijlen [2]. Our aim is to test the autoregression parameter. We study strong consistency of the maximum likelihood estimator of the parameter %. The diculty is that the underlying sample consists of nonindependent random variables. Moreover, no explicit formula is available for the maximum likelihood estimators of %. In the stable (|%| < 1) and unstable (|%| = 1) cases we showed local asymptotic normality (LAN) of the sequence of the related statistical experiments in [1] in the sense of Le Cam [3], see also Van der Vaart [4]. The main gain of this result is that we obtain at once asymptotically optimal tests." @default.
- W396416095 created "2016-06-24" @default.
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- W396416095 date "2007-01-01" @default.
- W396416095 modified "2023-09-26" @default.
- W396416095 title "Statistical problems in a discrete time random field HJM type interest rate model" @default.
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