Diffusion Process with Evolution and its Parameter Estimation
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DOI: 10.1007/s10559-020-00293-y
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… read more here.
Keywords: parameter estimation; process evolution; process; diffusion ... See more keywords