15.16 Generate one path of the following process: Xt = 0.01t + 0.3Bt, for t [0,...
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15.16 Generate one path of the following process:
Xt = 0.01t + 0.3Bt, for t ∈ [0, 1] and sampled with frequency Δt = 1/252. Let the observations be denoted with x0, x1 ...,x252. Estimate the parameters μ and σ of the process Xt = μt + σBt, using these observations. Compare the estimates with the actual parameter values 0.01 and 0.3. Give 95% confidence intervals based on the estimators. Do these intervals contain the true parameters?
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