Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/918965
- Title
- An algorithm for estimating time-varying commodity price models
- Author/Creator
-
Godoy, Boris I.;
Goodwin, Graham C.;
Aguero, Juan C.;
Rojas, Alejandro J.
- Institution
- The University of Newcastle. Faculty of Engineering & Built Environment, School of Electrical Engineering and Computer Science
- Description
- Given the current financial crisis, there is renewed interest in modelling how the price of commodities change in the market. Traditionally, such models have assumed constant parameters. However, large and sudden changes in the parameters can also be anticipated due to market shocks. This paper is aimed at addressing this issue. We first describe a bias-variance trade-off in parameter estimation when sudden changes are considered. We then propose a mechanism to achieve a compromise between the observed bias and variance. A key ingredient of this mechanism is to use an estimator having a variable memory length.
- Relation
- 48th IEEE Conference on Decision and Control, 2009 held jointly with the 28th Chinese Control Conference, 2009 (CDC/CCC 2009). Proceedings of the 48th IEEE Conference on Decision and Control 2009, held jointly with the 28th Chinese Control Conference 2009, CDC/CCC 2009 (Shanghai, China 15-18 December, 2009) p. 1563-1568
- Publisher Link
- http://dx.doi.org/10.1109/CDC.2009.5399546
- Date
- 2009
- Publisher
- Institute of Electrical and Electronics Engineers (IEEE)
- Keyword(s)
-
bias-variance trade-off;
financial crisis;
market shocks;
parameter estimation;
time-varying commodity price model
- Resource Type
- conference paper
- Rights
- Copyright © 2009 IEEE. Reprinted from the Proceedings of the 48th IEEE Conference on Decision and Control 2009, held jointly with the 28th Chinese Control Conference 2009, CDC/CCC 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/1959.13/918965
- Identifier
- ISBN:9781424438723
- Reviewed
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