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Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes

✍ Scribed by O. E. Barndorff-Nielsen; N. N. Leonenko


Publisher
Springer US
Year
2005
Tongue
English
Weight
388 KB
Volume
7
Category
Article
ISSN
1387-5841

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Functionals of complex Ornstein-Uhlenbec
✍ M. AratΓ³; S. Baran; M. IspΓ‘ny πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 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