Diffusion process with evolution and its parameter estimation
A discrete Markov process in an asymptotic diffusion environment with a uniformly ergodic embedded Markov chain can be approximated by an Ornstein–Uhlenbeck process with evolution. The drift parameter estimation is obtained using the stationarity of the Gaussian limit process.
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| Date: | 2020 |
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| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут кібернетики ім. В.М. Глушкова НАН України
2020
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| Series: | Кибернетика и системный анализ |
| Subjects: | |
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/190452 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Diffusion process with evolution and its parameter estimation / V.S. Koroliuk, D. Koroliouk, S.О. Dovgyi // Кибернетика и системный анализ. — 2020. — Т. 56, № 5. — С. 55–62. — Бібліогр.: 8 назв. — англ. |