{
  "id": "1105.5552",
  "version": "v1",
  "published": "2011-05-27T13:04:01.000Z",
  "updated": "2011-05-27T13:04:01.000Z",
  "title": "Parameter Estimation from Occupation Times",
  "authors": [
    "Wolfgang Bock",
    "Thomas Götz",
    "Martin Grothaus",
    "Uditha Prabhath Liyanage"
  ],
  "comment": "13 pages, 2 figures",
  "categories": [
    "math.NA",
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2011-05-27T13:04:01.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60K30",
      "65C20"
    ],
    "keywords": [
      "parameter estimation",
      "generate occupation times",
      "expected occupation time",
      "centered ornstein-uhlenbeck process",
      "squares minimization"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 13,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2011arXiv1105.5552B"
    }
  }
}