Theory and Modern Applications
Table 4 Parameter estimation for TS
From: An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
| Â | Known parameters | ||
|---|---|---|---|
λ | μ | σ | |
Actual | 4.05 | 8.4639 | 1.0381 |
| Â | Estimation | ||
|---|---|---|---|
\(\boldsymbol{\hat{\lambda}}\) | \(\boldsymbol{\hat{\mu}}\) | \(\boldsymbol{\hat{\sigma}}\) | |
Least squares regression | 3.5025 | 8.0599 | 1.0948 |
Maximum likelihood | 3.5025 | 8.0599 | 1.0926 |
Jackknife technique | 5.1518 | 8.7526 | 1.1069 |