Effect of sampling on the estimation of drift parameter of continuous time AR(1) processes
Statistics Theory
2013-07-29 v1 Statistics Theory
Abstract
We study the effect of stochastic sampling on the estimation of the drift parameter of continuous time AR(1) process. A natural distribution free moment estimator is considered for the drift based on stochastically observed time points. The effect of the constraint of the minimum separation between successive samples on the estimation of the drift is studied.
Keywords
Cite
@article{arxiv.1307.6865,
title = {Effect of sampling on the estimation of drift parameter of continuous time AR(1) processes},
author = {Radhendushka Srivastava and Ping Li},
journal= {arXiv preprint arXiv:1307.6865},
year = {2013}
}