Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph - École polytechnique Access content directly
Journal Articles Statistical Inference for Stochastic Processes Year : 2016

Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph

Abstract

Given Y a graph process defined by an incomplete information observation of a multivariate Ornstein-Uhlenbeck process X, we investigate whether we can estimate the parameters of X. We define two statistics of Y. We prove convergence properties and show how these can be used for parameter inference. Finally, numerical tests illustrate our results and indicate possible extensions and applications.
Fichier principal
Vignette du fichier
parameter-estimation_evolving_v6-final.pdf (541.75 Ko) Télécharger le fichier
Origin Files produced by the author(s)
Loading...

Dates and versions

hal-01271994 , version 1 (09-02-2016)

Identifiers

Cite

Emmanuel Gobet, Gustaw Matulewicz. Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph. Statistical Inference for Stochastic Processes, 2016, 20 (2), pp.211-235. ⟨10.1007/s11203-016-9142-4⟩. ⟨hal-01271994⟩
416 View
3245 Download

Altmetric

Share

Gmail Mastodon Facebook X LinkedIn More