Bias in the estimation of mean reversion in continuous-time Levy processes
This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Levy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The approximate bias is used to construct a bias corrected estimator. The performance of the approximate bias and the bias corrected estimator is examined using simulated data.
Bias, Mean reversion parameter, Levy processes
BAO, Yong; ULLAH, Aman; WANG, Yun; and YU, Jun.
Bias in the estimation of mean reversion in continuous-time Levy processes. (2015). Economics Letters. 134, 16-19. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/1985
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