New statistical investigations of the Ornstein-Uhlenbeck process.
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Publication:1416277
DOI10.1016/S0898-1221(02)00182-7zbMath1036.62064MaRDI QIDQ1416277
Publication date: 14 December 2003
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Ornstein-Uhlenbeck process; Confidence interval; Maximum likelihood estimator; Tables; Robust estimator
62F12: Asymptotic properties of parametric estimators
62M05: Markov processes: estimation; hidden Markov models
Cites Work
- Linear stochastic systems with constant coefficients. A statistical approach
- Gaussian likelihood estimation for nearly nonstationary AR(1) processes
- Hypothesis testing for nearly nonstationary autoregressive models
- Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
- Nearly unstable multidimensional AR processes
- Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
- A Strong Limit Theorem for Gaussian Processes
- Densities for Stochastic Processes
- Robust Statistics
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