Estimation of parameters in a system of stochastic differential equations from discrete observations

DOI10.1007/BF02674712zbMath0936.62093OpenAlexW2058689583MaRDI QIDQ1975809

M. A. Yakunin, S. S. Artem'ev

Publication date: 4 May 2000

Published in: Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02674712

zbMATH Keywords

Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Maximum-likelihood estimation of the parameters of a multivariate normal distribution
• Estimation of the parameters in stochastic differential equations
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