Gaussian Estimation of One-Factor Mean Reversion Processes

Table 3

Comparison  of monthly data series with Nowman, Yu-Phillips, and proposed methods.

	Nowman		Yu, Phillips		Nowman-Yu, Phillips		Proposed
	𝜆	𝛽	𝜆	𝛽	𝜎	𝛾	𝜆	𝛽	𝜎
Mean	1,3440	−0,2332	1,2330	−0,2275	0,6173	0,4919	1,2797	−0,2200	0,5989
Bias	0,6240	−0,1132	0,5130	−0,1075	0,0173	−0,0081	0,5597	−0,1000	−0,0011
Var	0,5897	0,1713	0,5732	0,1589	0,0099	0,0071	0,5406	0,0149	0,0004
MSE	0,9791	0,1841	0,8363	0,1705	0,0102	0,0071	0,8533	0,0249	0,0004

The results of the methods of Nowman and Yu, Phillips are taken into account, Yu and Phillips [1]. Our results were obtained with 1000 simulations with 500 observations each. The real values of the parameters are 𝜆=0.72, 𝛽=−0.12, 𝜎=0.6, and 𝛾=0.5.