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Estimating the Ornstein-Uhlenbeck Process Using Least-Squares Regression
This Demonstration simulates the Ornstein-Uhlenbeck process [1] and estimates its parameters using the least-squares regression method [2].
Contributed by:
Grzegorz Szoniec
THINGS TO TRY
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References
[1] G. Levy,
Computational Finance Using C and C#
, Amsterdam: Academic Press, 2008.
[2] P. Sweeting,
Financial Enterprise Risk Management
, Cambridge: Cambridge University Press, 2011.
RELATED LINKS
Fractional Ornstein-Uhlenbeck Process
(
Wolfram Demonstrations Project
)
Three Alternatives to the Likelihood Maximization for Estimating a Centered Matérn (3/2) Process
(
Wolfram Demonstrations Project
)
PERMANENT CITATION
Grzegorz Szoniec
"
Estimating the Ornstein-Uhlenbeck Process Using Least-Squares Regression
"
http://demonstrations.wolfram.com/EstimatingTheOrnsteinUhlenbeckProcessUsingLeastSquaresRegres/
Wolfram Demonstrations Project
Published: March 28, 2014
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