Research Article
Gaussian Estimation of One-Factor Mean Reversion Processes
Table 6
Comparison of Durham and Gallant, and proposed methods.
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The data are obtained with 512 simulations monthly series ( = 1/12) with 1000 observations each, and the parameters are listed as real. Results of the method proposed by Durham and Gallant. Results of the method proposed in this paper. In Durham and Gallant [4]: , , and . |