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A discrete Markov process in an asymptotic diffusion environment with a uniformly ergodic embedded Markov chain can be approximated by an Ornstein–Uhlenbeck process with evolution. The drift parameter estimation is… Click to show full abstract
A discrete Markov process in an asymptotic diffusion environment with a uniformly ergodic embedded Markov chain can be approximated by an Ornstein–Uhlenbeck process with evolution. The drift parameter estimation is obtained using the stationarity of the Gaussian limit process.
Keywords:
parameter estimation;
process evolution;
process;
diffusion
Journal Title: Cybernetics and Systems Analysis
Year Published: 2020
Link to full text (if available)
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Journal Title: Cybernetics and Systems Analysis
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!