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Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph

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Abstract

Given Y a graph process defined by an incomplete information observation of a multivariate Ornstein-Uhlenbeck process X, we investigate whether we can estimate the parameters of X. We define two statistics of Y. We prove convergence properties and show how these can be used for parameter inference. Finally, numerical tests illustrate our results and indicate possible extensions and applications.
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Dates and versions

hal-01271994 , version 1 (09-02-2016)

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  • HAL Id : hal-01271994 , version 1

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Emmanuel Gobet, Gustaw Matulewicz. Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph. 2016. ⟨hal-01271994⟩
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