Bias in the estimation of mean reversion in continuous-time Levy processes

被引：3

作者：

Bao, Yong ^{[1
]}

Ullah, Aman ^{[2
]}

Wang, Yun ^{[3
]}

Yu, Jun ^{[4
]}

机构：

[1] Purdue Univ, W Lafayette, IN 47907 USA

[2] Univ Calif Riverside, Riverside, CA 92521 USA

[3] Univ Int Business & Econ, Beijing 100029, Peoples R China

[4] Singapore Management Univ, Singapore 178902, Singapore

来源：

ECONOMICS LETTERS | 2015年 / 134卷

基金：

中国国家自然科学基金;

关键词：

Bias; Mean reversion parameter; Levy processes;

D O I：

10.1016/j.econlet.2015.06.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：16 / 19

页数：4

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