ON PARAMETER ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESS

Volume 1, Issue 1, October 2016     |     PP. 119-129      |     PDF (335 K)    |     Pub. Date: November 13, 2016
DOI:    401 Downloads     8115 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 1, Issue 1, October 2016 | PP. 119-129.

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