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Home > Journals > SCIREA Journal of Mathematics > Archive > Paper Information

ON PARAMETER ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESS

Volume 1, Issue 1, October 2016    |    PP. 119-129    |PDF (335 K)|    Pub. Date: November 13, 2016
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Author(s)
LabadzeLevan, Georgian Technical University
SokhadzeGrigol, I.Javakhishvili Tbilisi State University
KvatadzeZurab, I.Javakhishvili Tbilisi State University

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. Vol. 1 , No. 1 , 2016 , pp. 119 - 129 .

References

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