Transcription of Maximum likelihood estimation of mean reverting …
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Maximum likelihood estimation of mean reverting …
Maximumlikelihood estimationofmeanrevertingprocessesJos e CarlosGarc a frequently usedmodelsin instance,somecommodity prices(or theirlogarithms)are frequently believed to revert to somelevel parameterknowledge,basedon economicanalysisof the forcesat play, is perhapsthe mostmeaningfulchannelfor model ,databasedmethods are oftenneededto complement andvalidatea meanreverting(OUMR)model is a Gaussianmodel well suitedfor maximumlikelihood (ML)methods. Alternative methods includeleastsquares(LS)regressionof discreteautoregressive versionsof the OUMR model andmethods of moments (MM).
Maximum likelihood estimation of mean reverting processes Jos e Carlos Garc a Franco Onward, Inc. jcpollo@onwardinc.com Abstract Mean reverting processes are frequently used models in real options.
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