Gaussian Estimation of One-Factor Mean Reversion Processes

Table 5

Comparison  of daily 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	9,8250	−1,5360	8,8440	−1,4750	0,2521	0,4970	8,9542	−1,4933	0,2500
Bias	3,8250	−0,5360	2,8440	−0,4750	0,0021	−0,0030	2,9542	−0,4933	0,0000
Var	19,1959	0,5219	17,8220	0,4798	0,0244	0,0746	15,5818	0,4334	0,0000
MSE	33,8266	0,8092	25,9100	0,7054	0,0244	0,0746	24,2938	0,6763	0,0000

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=6.0, 𝛽=−1.0, 𝜎=0.25, and 𝛾=0.5.