Parameter Estimation from Occupation Times
Numerical Analysis
2011-05-30 v1 Probability
Abstract
We derive an equation to compute directly the expected occupation time of the centered Ornstein-Uhlenbeck process. This allows us to identify the parameters of the Ornstein-Uhlenbeck process for available occupation times via a standard least squares minimization. To test the method, we generate occupation times via Monte-Carlo simulations and recover the parameters with the above mentioned procedure.
Keywords
Cite
@article{arxiv.1105.5552,
title = {Parameter Estimation from Occupation Times},
author = {Wolfgang Bock and Thomas Götz and Martin Grothaus and Uditha Prabhath Liyanage},
journal= {arXiv preprint arXiv:1105.5552},
year = {2011}
}
Comments
13 pages, 2 figures