TY - JOUR
T1 - An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
AU - Chaiyapo, Nattiya
AU - Phewchean, Nattakorn
N1 - Publisher Copyright:
© 2017, The Author(s).
PY - 2017/12/1
Y1 - 2017/12/1
N2 - In this paper, we examine an application of Ornstein-Uhlenbeck process to commodity pricing in Thailand. Prices of Tapioca Starch, Ribbed Smoke Sheet no. 3, and Thai Hom Mali Rice are investigated. We use three parameter estimation methods: least squares estimation, maximum likelihood estimation, and jackknife estimation in order to find the best estimation for the model. Jackknife technique is the most appropriate estimation for our commodity pricing model, which provides the least sum-squared error of commodity prices.
AB - In this paper, we examine an application of Ornstein-Uhlenbeck process to commodity pricing in Thailand. Prices of Tapioca Starch, Ribbed Smoke Sheet no. 3, and Thai Hom Mali Rice are investigated. We use three parameter estimation methods: least squares estimation, maximum likelihood estimation, and jackknife estimation in order to find the best estimation for the model. Jackknife technique is the most appropriate estimation for our commodity pricing model, which provides the least sum-squared error of commodity prices.
KW - Ornstein-Uhlenbeck process
KW - commodity pricing
KW - parameter estimation
KW - stochastic process
UR - http://www.scopus.com/inward/record.url?scp=85021437728&partnerID=8YFLogxK
U2 - 10.1186/s13662-017-1234-y
DO - 10.1186/s13662-017-1234-y
M3 - Article
AN - SCOPUS:85021437728
SN - 1687-1839
VL - 2017
JO - Advances in Difference Equations
JF - Advances in Difference Equations
IS - 1
M1 - 179
ER -