Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process
نویسندگان
چکیده
منابع مشابه
Distributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process
We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process driven by the fractional Brownian motion (fBm). In particular, we are concerned with the estimation of the drift parameter, assuming that the Hurst parameter H is known and is in [1/2, 1). Under this setting we compute the distributions of the maximum likelihood estimator (MLE) and the minimum co...
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The Ornstein-Uhlenbeck process has been proposed as a model for the spontaneous activity of a neuron. In this model, the firing of the neuron corresponds to the first-passage of the process to a constant boundary, or threshold. While the Laplace transform of the first-passage time distribution is available, the probability distribution function has not been obtained in any tractable form. We ad...
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I declare that this essay is my own work done as part of the Part III Examination. It is the result of my own work, and except where stated otherwise, includes nothing which was performed in collaboration. No part of this essay has been submitted for a degree or any such qualification.
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Given a sequence of observations (Xn)n≥1 and a family of probability distributions {Qθ}θ∈Θ, the lossy likelihood of a particular distribution Qθ given the data Xn 1 := (X1,X2, . . . ,Xn) is defined as Qθ(B(X 1 ,D)), where B(Xn 1 ,D) is the distortion-ball of radius D around the source sequence X n 1 . Here we investigate the convergence of maximizers of the lossy likelihood.
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2001
ISSN: 0898-1221
DOI: 10.1016/s0898-1221(01)00127-4