New statistical investigations of the Ornstein-Uhlenbeck process.

DOI10.1016/S0898-1221(02)00182-7zbMath1036.62064MaRDI QIDQ1416277

D. Massart

Publication date: 14 December 2003

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processConfidence intervalMaximum likelihood estimatorTablesRobust estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cites Work

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