Diffusion Process with Evolution and its Parameter Estimation

被引：0
|
作者：
V. S. Koroliuk
D. Koroliouk
S. O. Dovgyi
机构：
[1] National Academy of Sciences of Ukraine,Institute of Mathematics
[2] National Academy of Sciences of Ukraine,Institute of Telecommunications and Global Information Space
来源：
Cybernetics and Systems Analysis | 2020年 / 56卷
关键词：
discrete Markov process; diffusion approximation; asymptotic diffusion environment; Ornstein–Uhlenbeck process; phase merging; drift parameter estimation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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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页码：732 / 738
页数：6
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