Parameter estimation for the non-stationary Ornstein–Uhlenbeck process with linear drift
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00362-014-0580-z.pdf
Reference12 articles.
1. Bercu B, Rouault A (2002) Sharp large deviations for the Ornstein–Uhlenbeck process. Theory Probab Appl 46:1–19
2. Bercu B, Coutin L, Savy N (2012) Sharp large deviations for the non-stationary Ornstein–Uhlenbeck process. Stoch Process Appl 122:3393–3424
3. Dietz HM, Kutoyants YuA (2003) Parameter estimation for some non-recurrent solutions of SDE. Stat Decis 21:29–45
4. Feigin PD (1976) Maximum likelihood estimation for continuous-time stochastic processes. Adv Appl Probab 8:712–736
5. Feigin PD (1979) Some comments concerning a curious singularity. J Appl Probab 16:440–444
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