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
Statistical properties of a discrete version of the Ornstein-Uhlenbeck process
✍ Scribed by Larralde, Hernán
- Book ID
- 120430338
- Publisher
- The American Physical Society
- Year
- 2004
- Tongue
- English
- Weight
- 42 KB
- Volume
- 69
- Category
- Article
- ISSN
- 1063-651X
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