JOURNAL ARTICLE
On parameter estimation of the hidden Ornstein–Uhlenbeck process
Year: 2018 Journal: Journal of Multivariate Analysis Vol: 169 Pages: 248-263 Publisher: Elsevier BV
Keywords:
Mathematics Ornstein–Uhlenbeck process Asymptotic distribution Estimator Consistency (knowledge bases) White noise Applied mathematics Strong consistency Estimation theory Additive white Gaussian noise Consistent estimator Gaussian Statistics Stochastic process Minimum-variance unbiased estimator Discrete mathematics
Metrics
23
Cited By
4.40
FWCI (Field Weighted Citation Impact)
25
Refs
0.94
Citation Normalized Percentile
Is in top 1%
Is in top 10%
Citation History
Topics
Stochastic processes and financial applications
Social Sciences → Economics, Econometrics and Finance → Finance
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Stochastic processes and statistical mechanics
Physical Sciences → Mathematics → Mathematical Physics
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