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PubMed · 1837670

Ornstein-Uhlenbeck process and its application.

J Mohapl
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Abstract

The paper deals with the Ornstein-Uhlenbeck process (O-U), its approximation by discrete random processes designed for modelling of the O-U process and some methods of statistical evaluation. The known elementary properties of the O-U process and its discretization are summarized. As to the statistical methods, the maximum-likelihood estimates of parameters of the O-U process and some methods for hypothesis testing are demonstrated on results obtained by simulation of the O-U process on the computer.

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BibTeXRIS

J Mohapl. 1991. Ornstein-Uhlenbeck process and its application.. https://pubmed.ncbi.nlm.nih.gov/1837670/

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