There are plenty of other R blogs out there, but I wanted to cover practical statistics topics in video format. Video lectures got me through my dissertation and I want to repay some of the favor. If you have a good idea for a video or need some help, let me know!
Monday, August 26, 2013
Estimation and simulation of the geometric Ornstein-Uhlenbeck process
The Ornstein-Uhlenbeck process is mean reverting process commonly used to model commodity prices. I demonstrate how to estimate the process using a set of price data and provide a function for simulation.