Table 1. Simulation results for the estimation of SVM-OU parameters and stable rates. For data augmentation, 0, 1 and 3 data points are added between every two adjacent observations.
No. Data points Augmented | Parameter | Truth | Bias | MSE | |
---|---|---|---|---|---|
0 |
|
0.01 | -6.723E-04 | 1.590E-05 | |
|
0.2 | -9.837E-02 | 1.322E-02 | ||
ρ | 1 | -1.863E-01 | 5.239E-02 | ||
V̄ | 0.3 | -7.612E-03 | 1.297E-02 | ||
|
|||||
1 |
|
0.01 | 1.120E-04 | 1.521E-05 | |
|
0.2 | -6.089E-02 | 1.130E-02 | ||
ρ | 1 | -6.426E-02 | 3.793E-02 | ||
V̄ | 0.3 | -9.181E-03 | 1.304E-02 | ||
|
|||||
3 |
|
0.01 | 4.489E-04 | 1.611E-05 | |
|
0.2 | -3.905E-02 | 1.219E-02 | ||
ρ | 1 | 8.856E-03 | 4.687E-02 | ||
V̄ | 0.3 | -9.955E-03 | 1.284E-02 |