Jump to Main Content
Bias in the estimation of mean reversion in continuous-time Lévy processes
- Bao, Yong, Ullah, Aman, Wang, Yun, Yu, Jun
- Economics letters 2015 v.134 pp. 16-19
- This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Lévy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The approximate bias is used to construct a bias corrected estimator. The performance of the approximate bias and the bias corrected estimator is examined using simulated data.