Parameter Estimation from Occupation Times

Authors W. Bock, Thomas Götz, Martin Grothaus, Uditha Prabhath Liyanage

Publication date 27 May 2011

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Abstract: We derive an equation to compute directly the expected occupation time of the centered Ornstein-Uhlenbeck process. This allows us to identify the parameters of the Ornstein-Uhlenbeck process for available occupation times via a standard least squares minimization. To test the method, we generate occupation times via Monte-Carlo simulations and recover the parameters with the above mentioned procedure.

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