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Results tagged with brownian-motion
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user 46004
In mathematics, Brownian motion is described by the Wiener process; a continuous-time stochastic process named in honor of Norbert Wiener.
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How to fix my Ornstein-Uhlenbeck parameter MLE in Python?
I am trying to fit time-series data into an Ornstein-Uhlenbeck process.
Here is my code so far:
# source for computation: https://arxiv.org/pdf/1411.5062.pdf
import math
from math import sqrt, exp, lo …
- 111
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Accepted
How to fix my Ornstein-Uhlenbeck parameter MLE in Python?
Adding on to Japser's answer, to address the division by 0, we can set a very small value for the lower bound for mu and sigma (e.g. 1x10^-5). To see the algorithm in action, see this
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