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A solution of the ornstein-uhlenbeck equation

✍ Scribed by Byung Soo Moon; Russel C. Thompson


Publisher
Springer-Verlag
Year
2006
Tongue
English
Weight
254 KB
Volume
20
Category
Article
ISSN
1598-5865

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📜 SIMILAR VOLUMES


New statistical investigations of the or
✍ M. Arató; S. Fegyverneki 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 666 KB

An asymptotic analysis is presented for estimation in the three-parameter Ornstein-Uhlenbeck process, where the parameters are the local mean, the drift, and the variance. We are interested in the case when the damping parameter (A, or AT = s) is nearly zero. The asymptotic sufficient statistics can