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发帖数: 75 | 1 Suppose I have sample data S1, S2, S3, ..., Sn and I fit the data with mean
reversion model St+1 = St + a(u+St) + s*error, where error is iid with mean=
0 and stdev=1. And I estimated a, u, and s using regression. My question
is can we calculate the expected value of the sample standard deviation (
standard deviation of S1, S2, S3, ..., Sn ) in terms of a and s?
Thanks in advance for any help! |
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