New statistical investigations of the or
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M. Arató; S. Fegyverneki
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Article
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2002
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Elsevier Science
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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