Ornstein-Uhlenbeck process and its application.
Jaroslav Mohapl · PubMed · 1991
The paper deals with the Ornstein-Uhlenbeck process (O-U), its approximation by discrete random processes designed for modelling of the O-U process and some methods of statistical evaluation. The known elementary properties of the O-U process and its discretization are summarized. As to the statistical methods, the maximum-likelihood estimates of parameters of the O-U process and some methods for hypothesis testing are demonstrated on results obtained by simulation of the O-U process on the computer.