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Master equation solution of Ornstein-Uhlenbeck processes

✍ Scribed by Julius I. Bowen); Paul H.E. Meijer)

Publisher
Elsevier Science
Year
1960
Weight
405 KB
Volume
26
Category
Article
ISSN
0031-8914

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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