Browsing School of Pure and Applied Sciences by Subject "Normal inverse Gaussian"
Now showing items 1-1 of 1
-
LÉVY PROCESS BASED ORNSTEIN-UHLENBECK TEMPERATURE MODEL WITH TIME VARYING SPEED OF MEAN REVERSION
(Pushpa Publishing House, 2018)In this study we develop a Lévy process driven Ornstein-Uhlenbeck daily temperature model. The model takes into account a time dependent speed of mean reversion. It is statistically demonstrated that historical data and ...