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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/918807

Title
On parameter estimation of the Schwartz-Smith short-term/long-term model
Author/Creator
Tai, Xin;  Fu, Minyue
Institution
The University of Newcastle. Faculty of Engineering & Built Environment, School of Electrical Engineering and Computer Science
Description
The short-term/long-term model proposed by Schwartz and Smith in 2000 is widely used in modeling commodity prices. A key and nontrivial problem in this modeling technique is how to estimate the model parameters. This paper considers the parameter estimation problem based on the maximum likelihood criterion and proposes a method to simplify the task. Two components are contained in the proposed method: one to do with re-parametrization and one to do with separating the parameter set so that one part can be solved directly using least-squares and another part using nonlinear optimization. The effectiveness of the proposed method is demonstrated via numerical tests.
Relation
7th Asian Control Conference (ASCC 2009). Proceedings of the 2009 7th Asian Control Conference, ASCC 2009 (Hong Kong 27-29 August, 2009) p. 396-401
Relation
http://ieeexplore.ieee.org/search/srchabstract.jsp?tp=&arnumber=5276179
Date
2009
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Keyword(s)
commodity trading;  econometrics;  least squares approximations;  maximum likelihood estimation;  nonlinear programming;  pricing
Resource Type
conference paper
Rights
Copyright © 2009 IEEE. Reprinted from the Proceedings of the 2009 7th Asian Control Conference, ASCC 2009. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of University of Newcastle's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to pubs-permissions@ieee.org. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.
Identifier
http://hdl.handle.net/1959.13/918807
Identifier
ISBN:9788995605691
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"On parameter estimation of the Schwartz-Smith short-term/long-term model"
 
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