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.
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