Inference for jump models and nonlinear inverse problems (C12)

跳跃模型和非线性反问题的推理（C12）

• 批准号: 154846008
• 金额: --
• 依托单位: Institut für Mathematik
• 依托单位国家: 德国
• 项目类别: Collaborative Research Centres
• 财政年份: 2009
• 资助国家: 德国
• 起止时间: 2008-12-31 至 2015-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/154846008?language=en
• 关键词: Inference; jump; models; nonlinear; inverse

We focus on the effects that jumps and nonlinearities have on the inference in and calibration of economic models. Currently, standard continuous-time dynamical models are extended to include random jumps which represent shocks to the economy as a whole or to some assets in financial markets. Statistical tools to adjust these jump models to empirical data are currently under development. Typically, these approaches lead to statistical inverse problems, which are inherently nonlinear and ill-posed, and will raise difficult mathematical and practical problems.

我们专注于跳跃和非线性对经济模型的推断和校准的影响。目前，标准的连续时间动态模型被扩展到包括随机跳跃，这代表了对整个经济或金融市场中某些资产的冲击。目前正在开发统计工具，以便根据经验数据调整这些跳跃模型。通常情况下，这些方法会导致统计逆问题，这是固有的非线性和不适定，并会提出困难的数学和实际问题。