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.