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On adaptive optimal prediction of Ornstein-Uhlenbeck process T. Dogadova, V. Vasiliev
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ArticleSubject(s): Орнштейна-Уленбека процесс | адаптивное оптимальное прогнозированиеGenre/Form: статьи в журналах Online resources: Click here to access online
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Applied mathematical sciences Vol. 11, № 12. P. 591-600Abstract: 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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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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