From: An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand

Known parameters
| |||
---|---|---|---|

λ |
μ |
σ | |

Actual | 0.60 | 66.9500 | 14.8473 |

Estimation
| |||
---|---|---|---|

\(\boldsymbol{\hat{\lambda}}\) | \(\boldsymbol{\hat{\mu}}\) | \(\boldsymbol{\hat{\sigma}}\) | |

Least squares regression | 0.7434 | 75.1161 | 16.7193 |

Maximum likelihood | 0.7434 | 75.1161 | 16.6971 |

Jackknife technique | 0.5772 | 78.6778 | 17.5704 |