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.
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!
Hi, what are 'prices' and 'real' data sets?
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