Browsing Statistics and Actuarial Science by Author "Ng, Wai Man"
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Bias in the Estimate of a Mean Reversion Parameter for a Fractional Ornstein-Uhlenbeck Process
Ng, Wai Man (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 ...