Effect of sampling on the estimation of drift parameter of continuous time AR(1) processes
Radhendushka Srivastava, Ping Li · arXiv (Cornell University) · 2013
We study the effect of stochastic sampling on the estimation of the drift parameter of continuous time AR(1) process. A natural distribution free moment estimator is considered for the drift based on stochastically observed time points. The effect of the constraint of the minimum separation between successive samples on the estimation of the drift is studied.