## Archive for **November 20th, 2013**

## Estimation of Exponential Ornstein-Uhlenbeck process

In the previous article about process calibration we derived the following updating formula:

Now we can rearrange equation’s parts as follows:

Thus we can equate it against simple regression formula:

Therefore, we obtain:

And this gives us the following OLS estimates:

As it was in the previous articles:

And finally the estimation of is:

Thus we obtained the estimation of exponential Ornstein-Uhlenbeck process.