Functionals of complex Ornstein-Uhlenbeck processes

Authors
Arato, M Baran, S Ispany, M
Citation
M. Arato et al., Functionals of complex Ornstein-Uhlenbeck processes, COMPUT MATH, 37(1), 1999, pp. 1-13
Citations number
26
Categorie Soggetti
Computer Science & Engineering
Journal title
COMPUTERS & MATHEMATICS WITH APPLICATIONS
ISSN journal
08981221 → ACNP
Volume
37
Issue
1
Year of publication
1999
Pages
1 - 13
Database
ISI
SICI code
0898-1221(199901)37:1<1:FOCOP>2.0.ZU;2-J
Abstract
The exact distribution of the sufficient statistics and distribution of the maximum likelihood estimator of the drift (damping) parameter in a station ary complex Ornstein-Uhlenbeck process, given by (1.1), is investigated. Co mplete tables of the distribution function for different levels are given b y the help of MATLAB. The comparison with the earlier calculations are disc ussed. The relation of the famous model of Chandler Wobble proposed by Kolm ogorov is investigated [1]. (C) 1998 Elsevier Science Ltd. All rights reser ved.