Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type

DOI10.1007/s11203-008-9021-8zbMath1205.62124OpenAlexW2039606054MaRDI QIDQ625306

Wim Schoutens, Francis Tuerlinckx, Luis Valdivieso

Publication date: 15 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-008-9021-8

zbMATH Keywords

Fourier transformOrnstein-Uhlenbeck processeslikelihood inference

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

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