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Properties of the Reflected Ornstein–Uhlenbeck Process

✍ Scribed by Amy R. Ward; Peter W. Glynn


Book ID
111540731
Publisher
Springer US
Year
2003
Tongue
English
Weight
117 KB
Volume
44
Category
Article
ISSN
0257-0130

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Functionals of complex Ornstein-Uhlenbec
✍ M. Arató; S. Baran; M. Ispány 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 717 KB

The exact distribution of the sufficient statistics and distribution of the maximum likelihood estimator of the drift (damping) parameter in a stationary complex Ornstein-Uhlenbeck process, given by (1.1), is investigated. Complete tables of the distribution function for different levels are given b