Diffusion process with evolution and its parameter estimation
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. Показано, що дискретни...
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| Published in: | Кибернетика и системный анализ |
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| Date: | 2020 |
| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут кібернетики ім. В.М. Глушкова НАН України
2020
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| Subjects: | |
| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/190452 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Diffusion process with evolution and its parameter estimation / V.S. Koroliuk, D. Koroliouk, S.О. Dovgyi // Кибернетика и системный анализ. — 2020. — Т. 56, № 5. — С. 55–62. — Бібліогр.: 8 назв. — англ. |
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