Browsing Mathematics (Faculty of) by Subject "Ornstein-Uhlenbeck process"
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Bias in the Estimate of a Mean Reversion Parameter for a Fractional Ornstein-Uhlenbeck Process
(University of Waterloo, 2017-01-19)In this thesis we studied the estimation bias of the least squares estimate of the mean reversion parameter, when the underlying dynamics is governed by fractional Brownian motions. Fractional Brownian motion is a ...