On adaptive optimal prediction of Ornstein-Uhlenbeck process

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DOI Доступ к ресурсу на сайте издателя			10.12988/ams.2017.7247

Title: On adaptive optimal prediction of Ornstein-Uhlenbeck process
Creator: Dogadova, Tatiana V.
|
Vasiliev, Vyacheslav A.
Date: 2017
DOI: 10.12988/ams.2017.7247
Description: This paper suggests predictors for the Ornstein-Uhlenbeck process based on the truncated estimators of parameters. For these estimators there are established the asymptotic and non-asymptotic properties with guaranteed accuracy. Strong consistency of the obtained estimators is proved. There are investigated asymptotic properties of the predictors and shown their optimality.

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collection(s): Научное управление | Факультет прикладной математики и кибернетики (до 01.09.2017 г.)
Identifier: смотреть в электронном каталоге НБ ТГУ
Type: статьи в журналах
Source: Applied mathematical sciences. 2017. Vol. 11, № 12. P. 591-600
Language: eng

Created: 23-10-2017

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