Drift estimation for a periodic mean reversion process
| Year of publication: |
2010
|
|---|---|
| Authors: | Dehling, Herold ; Franke, Brice ; Kott, Thomas |
| Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 13.2010, 3, p. 175-192
|
| Publisher: |
Springer |
| Subject: | Time-inhomogeneous diffusion process | Ornstein–Uhlenbeck process | Maximum likelihood estimation | Asymptotic normality |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008775918