ON PARAMETER ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESS

Volume 9, Issue 1, February 2024     |     PP. 119-129      |     PDF (335 K)    |     Pub. Date: November 13, 2016
DOI:    399 Downloads     4128 Views  

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. Volume 9, Issue 1, February 2024 | PP. 119-129.

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