Theory and Modern Applications
Table 3 Parameter estimation for RSS3
From: An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
| Â | Known parameters | ||
|---|---|---|---|
λ | μ | σ | |
Actual | 0.60 | 66.9500 | 14.8473 |
| Â | Estimation | ||
|---|---|---|---|
\(\boldsymbol{\hat{\lambda}}\) | \(\boldsymbol{\hat{\mu}}\) | \(\boldsymbol{\hat{\sigma}}\) | |
Least squares regression | 0.7434 | 75.1161 | 16.7193 |
Maximum likelihood | 0.7434 | 75.1161 | 16.6971 |
Jackknife technique | 0.5772 | 78.6778 | 17.5704 |