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by stemul
February 21st, 2011, 10:39 pm
Forum: Student Forum
Topic: OU Process Calibration
Replies: 19
Views: 24330

OU Process Calibration

<t>Hello ?I would appreciate an outline of the steps involved in the calibration of an OU process ( e.g., mean reversion rate, volatility, & seasonal indices ) for the following time series: ID: Electric utility sales ( kWh ).FREQ: MonthlyNOBS: 22 * 12 = 264Note: The series exhibits both strong ...