On maximum likelihood estimation of the drift matrix of a degenerated O-U process
In this work, we consider a 2n-dimension OrnsteinUhlenbeck (OU) process with a singular diffusion matrix. This process represents a currently used model for mechanical systems subject to random vibrations. We study the problem of estimating the drift parameters of the stochastic differential equatio...
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2017
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| Assuntos: | |
| Texto completo: | https://hdl.handle.net/10216/116122 |
| País: | Portugal |
| Oai: | oai:repositorio-aberto.up.pt:10216/116122 |