Browsing School of Pure and Applied Sciences by Subject "Lévy process"
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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 ...