arXiv:1105.5552 Abstract | arXiv Analytics

arXiv:1105.5552 [math.NA]Abstract References Reviews Resources

Parameter Estimation from Occupation Times

Wolfgang Bock, Thomas Götz, Martin Grothaus, Uditha Prabhath Liyanage

Published 2011-05-27Version 1

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.

Comments: 13 pages, 2 figures

Categories: math.NA, math.PR

Subjects: 60K30, 65C20

Keywords: parameter estimation, generate occupation times, expected occupation time, centered ornstein-uhlenbeck process, squares minimization

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