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Paper detail

Parameter Estimation from Occupation Times

We derive an equation to compute directly the expected occupation time of the centered Ornstein-Uhlenbeck process. This allows us to identify the parameters of the Ornstein-Uhlenbeck process for available occupation times via a standard least squares minimization. To test the method, we generate occupation times via Monte-Carlo simulations and recover the parameters with the above mentioned procedure.

preprint2011arXivOpen access
Wolfgang BockThomas GötzMartin GrothausUditha Prabhath Liyanage
math.PRmath.NA
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Wolfgang BockThomas GötzMartin GrothausUditha Prabhath Liyanage

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