科研之友
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摘要
We derive the exact distribution of the maximum likelihood estimator of the mean reversion parameter () in the Ornstein-Uhlenbeck process using numerical integration through analytical evaluation of a joint characteristic function. Different scenarios are considered: known or unknown drift term, fixed or random start-up value, and zero or positive . Monte Carlo results demonstrate the remarkably reliable performance of our exact approach across all the scenarios. In comparison, misleading results may arise under the asymptotic distributions, including the advocated infill asymptotic distribution, which performs poorly in the tails when there is no intercept in the regression and the starting value of the process is nonzero.
- 出版日期2017
- 单位对外经济贸易大学
