ON PARAMETER ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESS
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Author(s)
Abstract
An estimation procedure for Ornstein–Uhlenbeck process drift and volatility coefficients is given. The procedure is based on the maximum likelihood principle andplug-in-estimator.
Keywords
Estimation,MLE,Ornstein-Uhlenbeck processes, plug-in-estimator.
Cite this paper
LabadzeLevan, SokhadzeGrigol, KvatadzeZurab,
ON PARAMETER ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESS
, SCIREA Journal of Mathematics.
Volume 1, Issue 1, October 2016 | PP. 119-129.
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