Drift estimation for a periodic mean reversion process

DOI10.1007/s11203-010-9045-8zbMath1209.60047OpenAlexW2091636333MaRDI QIDQ2431002

Thomas Kott, Brice Franke, Herold G. 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

zbMATH Keywords

asymptotic normalitymaximum likelihood estimationOrnstein-Uhlenbeck processtime-inhomogeneous diffusion process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Applications of operator theory in probability theory and statistics (47N30)

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Cites Work

• Unnamed Item
• Statistical inference for ergodic diffusion processes.
• Parameter estimation in stochastic differential equations.
• Functional analysis

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