Drift estimation for a periodic mean reversion process
DOI10.1007/S11203-010-9045-8zbMATH Open1209.60047OpenAlexW2091636333MaRDI QIDQ2431002FDOQ2431002
Authors: Brice Franke, Thomas Kott, Herold Dehling 
Publication date: 8 April 2011
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/27242
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asymptotic normalitymaximum likelihood estimationOrnstein-Uhlenbeck processtime-inhomogeneous diffusion process
Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of operator theory in probability theory and statistics (47N30)
Cites Work
Cited In (29)
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