Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process

DOI10.1080/03610926.2022.2048309MaRDI QIDQ6096211

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Publication date: 11 September 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

state space modelOrnstein Uhlenbeck processoptimal filtering equationsestimation of the hidden mean reverting factor

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites Work

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