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Ornstein-Uhlenbeck process
(redirected from Mean reverting process)

    Also found in: Wikipedia 0.06 sec.
Ornstein-Uhlenbeck process [¦ȯrn‚stīn ′ü·lən‚bek ‚prä‚ses]
(statistics)
A stochastic process used as a theoretical model for Brownian motion.


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The mean-reverting process discussed here includes the moving mean model tested in the paper as the moving mean model is indeed a mean reverting process but the mean of beta is time-varying too.
Computer-intensive time-varying model approach to the systematic risk ... by Gao, Jiti / Australian Journal of Management
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