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

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

λ |
μ |
σ | |

Actual | 4.05 | 8.4639 | 1.0381 |

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

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

Least squares regression | 3.5025 | 8.0599 | 1.0948 |

Maximum likelihood | 3.5025 | 8.0599 | 1.0926 |

Jackknife technique | 5.1518 | 8.7526 | 1.1069 |