← 返回数学题库
6039统计中等数值题medium

Ornstein-Uhlenbeck Speed to Discrete Coefficient

题目

A spread is modeled in continuous time as a mean-reverting Ornstein-Uhlenbeck process with reversion speed kappa = 0.5 per day. If you sample it once per day and fit an AR(1), what discrete coefficient phi should you expect?

解题计时

0:00

提交作答时记录,用于后续平均用时统计。

你的答案