Gaussian Estimation of One-Factor Mean Reversion Processes

Table 4

Comparison of weekly 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	4,4090	−0,7320	4,1650	−0,7011	0,3762	0,4925	4,2038	−0,7022	0,3499
Bias	1,4090	−0,2320	1,1650	−0,2011	0,0262	−0,0075	1,2038	−0,2022	−0,0001
Var	4,0663	0,1109	3,8608	0,1030	0,0172	0,0357	3,5427	0,0992	0,0001
MSE	6,0855	0,1647	5,2180	0,1435	0,0179	0,0358	4,9883	0,1400	0,0001

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 1000 observations each. The real values of the parameters are 𝜆=3, 𝛽=−0.5, 𝜎=0.35, and 𝛾=0.5.