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Table 4 Parameter estimates for the simulated GBM and GOU processes shown in Fig. 2

From: Using correlated stochastic differential equations to forecast cryptocurrency rates and social media activities

  \(\hat {\bar {\mu }}\) \(\hat {\bar {\theta }}\) \(\hat {\sigma }\) \(\hat {\kappa }\) (C−1)n,n
GBM 0.4 -0.00397   0.112   1.296
GOU 0.4   8.89 0.1004 0.0786 1.406
GBM 0.6 0.00381   0.0904   1.352
GOU 0.6   10.31 0.0960 0.0431 1.404
GBM 0.8 0.00391   0.0852   1.950
GOU 0.8   9.88 0.0920 0.0544 2.006
  1. Parameters were set as \(\bar {\mu }=0, \bar {\theta }=10, \sigma =0.1, \kappa =0.1\). For a correlation of matrix with off diagonals 0.4, (C−1)n,n=1.242. For 0.6, (C−1)n,n=1.517 and for 0.8, (C−1)n,n=2.143