Skip to main content
edited tags
Link
kjetil b halvorsen
  • 82.8k
  • 32
  • 201
  • 663

I have used least squares estimation to obtain estimates for parameters to be used in Ornstein Uhlenbeck process. Now, I would like to compute the standard errors of estimates.

𝑑𝑆𝑡=𝜆(𝜇−𝑆𝑡)𝑑𝑡+𝜎𝑑𝑊𝑡$𝑑𝑆𝑡=𝜆(𝜇−𝑆𝑡)𝑑𝑡+𝜎𝑑𝑊𝑡$ (Ornstein Uhlenbeck process and parameters to be estimated)

The regression is as follows:

S(t+1)=a*S(t)+b+𝜖$S(t+1)=a*S(t)+b+𝜖$

The estimates for parameters are obtained from the regression coefficients as follows:

𝜆=−(ln𝑎)/Δ𝑡, 𝜇=𝑎/(1−𝑏)$𝜆=−(ln𝑎)/Δ𝑡, 𝜇=𝑎/(1−𝑏)$

and

𝜎=sd(𝜖𝑡)*sqrt(2𝜆/(1−𝑒^(−2𝜆Δ𝑡)))$𝜎=sd(𝜖𝑡) * \sqrt{2𝜆/(1−𝑒^{−2𝜆Δ𝑡})}$

I can obtain the standard errors for a and b, but how would I be able to obtain standard errors for the parameters?

Any help is greatly appreciated, I apologize the messy layout of formulas.

I have used least squares estimation to obtain estimates for parameters to be used in Ornstein Uhlenbeck process. Now, I would like to compute the standard errors of estimates.

𝑑𝑆𝑡=𝜆(𝜇−𝑆𝑡)𝑑𝑡+𝜎𝑑𝑊𝑡 (Ornstein Uhlenbeck process and parameters to be estimated)

The regression is as follows:

S(t+1)=a*S(t)+b+𝜖

The estimates for parameters are obtained from the regression coefficients as follows:

𝜆=−(ln𝑎)/Δ𝑡, 𝜇=𝑎/(1−𝑏)

and

𝜎=sd(𝜖𝑡)*sqrt(2𝜆/(1−𝑒^(−2𝜆Δ𝑡)))

I can obtain the standard errors for a and b, but how would I be able to obtain standard errors for the parameters?

Any help is greatly appreciated, I apologize the messy layout of formulas.

I have used least squares estimation to obtain estimates for parameters to be used in Ornstein Uhlenbeck process. Now, I would like to compute the standard errors of estimates.

$𝑑𝑆𝑡=𝜆(𝜇−𝑆𝑡)𝑑𝑡+𝜎𝑑𝑊𝑡$ (Ornstein Uhlenbeck process and parameters to be estimated)

The regression is as follows:

$S(t+1)=a*S(t)+b+𝜖$

The estimates for parameters are obtained from the regression coefficients as follows:

$𝜆=−(ln𝑎)/Δ𝑡, 𝜇=𝑎/(1−𝑏)$

and

$𝜎=sd(𝜖𝑡) * \sqrt{2𝜆/(1−𝑒^{−2𝜆Δ𝑡})}$

I can obtain the standard errors for a and b, but how would I be able to obtain standard errors for the parameters?

Any help is greatly appreciated, I apologize the messy layout of formulas.

Source Link

How do I obtain the standard errors for Ornstein Uhlenbeck parameter estimates?

I have used least squares estimation to obtain estimates for parameters to be used in Ornstein Uhlenbeck process. Now, I would like to compute the standard errors of estimates.

𝑑𝑆𝑡=𝜆(𝜇−𝑆𝑡)𝑑𝑡+𝜎𝑑𝑊𝑡 (Ornstein Uhlenbeck process and parameters to be estimated)

The regression is as follows:

S(t+1)=a*S(t)+b+𝜖

The estimates for parameters are obtained from the regression coefficients as follows:

𝜆=−(ln𝑎)/Δ𝑡, 𝜇=𝑎/(1−𝑏)

and

𝜎=sd(𝜖𝑡)*sqrt(2𝜆/(1−𝑒^(−2𝜆Δ𝑡)))

I can obtain the standard errors for a and b, but how would I be able to obtain standard errors for the parameters?

Any help is greatly appreciated, I apologize the messy layout of formulas.