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Parameter estimation from occupation times: a white noise approach
University of Kaiserslautern, Germany.ORCID iD: 0000-0002-8400-0416
University of Koblenz, Germany.
University of Kaiserslautern, Germany.
University of Kaiserslautern, Germany.
2014 (English)In: Communcations on Stocastic Analysis, ISSN 2688-6669, Vol. 8, no 4, article id 5Article in journal (Refereed) Published
Abstract [en]

We derive an equation to compute directly the expected occupation time of the centered Ornstein–Uhlenbeck process. This allows us toidentify the parameters of the Ornstein–Uhlenbeck process for available occupation times via a standard least squares minimization. To test the method,we generate occupation times via Monte–Carlo simulations and recover theparameters with the above mentioned procedure.

Place, publisher, year, edition, pages
LSU Library , 2014. Vol. 8, no 4, article id 5
National Category
Computational Mathematics
Research subject
Mathematics, Applied Mathematics
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URN: urn:nbn:se:lnu:diva-124553DOI: 10.31390/cosa.8.4.04OAI: oai:DiVA.org:lnu-124553DiVA, id: diva2:1802865
Available from: 2023-10-06 Created: 2023-10-06 Last updated: 2023-10-19Bibliographically approved

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Bock, Wolfgang

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CiteExportLink to record
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  • apa
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  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
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  • Other locale
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Output format
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