Title of article
Functionals of complex Ornstein-Uhlenbeck processes
Author/Authors
N. M. Arato، نويسنده , , S. Baran، نويسنده , , M. Ispany، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 1999
Pages
13
From page
1
To page
13
Abstract
The exact distribution of the sufficient statistics and distribution of the maximum likelihood estimator of the drift (damping) parameter in a stationary complex Ornstein-Uhlenbeck process, given by (1.1), is investigated. Complete tables of the distribution function for different levels are given by the help of MATLAB. The comparison with the earlier calculations are discussed. The relation of the famous model of Chandler Wobble proposed by Kolmogorov is investigated [1].
Keywords
Complex Ornstein-Uhlenbeck process , maximum likelihood estimator , Sufficient statistics , Numerical integration , Chandler Wobble
Journal title
Computers and Mathematics with Applications
Serial Year
1999
Journal title
Computers and Mathematics with Applications
Record number
918324
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