Theory and Modern Applications
Table 2 Parameter estimation for BHMR
From: An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
| Â | Known parameters | ||
|---|---|---|---|
λ | μ | σ | |
Actual | 3.00 | 29.3900 | 1.8565 |
| Â | Estimation | ||
|---|---|---|---|
\(\boldsymbol{\hat{\lambda}}\) | \(\boldsymbol{\hat{\mu}}\) | \(\boldsymbol{\hat{\sigma}}\) | |
Least squares regression | 3.6724 | 29.7853 | 4.6176 |
Maximum likelihood | 3.6724 | 29.7853 | 4.6128 |
Jackknife technique | 3.0107 | 29.5938 | 4.6865 |