Skip to main content
SpringerLink
Log in

Estimation of the discord time for a process of the Ornstein-Uhlenbeck type

  • Published:
Ukrainian Mathematical Journal Aims and scope

Abstract

A consistent estimate is constructed for the discord time of a process of the Ornstein-Uhlenbeck type. The rate of the almost sure convergence of this estimate is investigated and the confidence interval is determined.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  1. R. Sh. Liptser and A. N. Shiryaev,Statistics of Random Processes [in Russian], Nauka, Moscow (1974).

    Google Scholar 

  2. Yu. V. Kozachenko and A. I. Stadnik, “On the convergence of certain functionals of Gaussian vectors in Orlicz spaces,”Teor. Ver. Mat. Stat.,44, 80–87 (1991).

    Google Scholar 

  3. Yu. V. Kozachenko and A. I. Stadnik, “Pre-Gaussian processes and the convergence of estimates of covariance functions inC (T),”Teor. Ver. Mat. Stat.,45, 54–62 (1991).

    Google Scholar 

  4. Yu. V. Kozachenko, “Random processes in Orlicz spaces. II,”Teor. Ver. Mat. Stat.,31, 44–50 (1984).

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Institute of Cybernetics, Ukrainian Academy of Sciences, Kiev

    L. B. Vovk

  2. Kiev University, Kiev

    R. E. Maiboroda

Authors
  1. L. B. Vovk
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. R. E. Maiboroda
    View author publications

    You can also search for this author in PubMed Google Scholar

Additional information

Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 45, No. 9, pp. 1198–1204, September, 1993.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Vovk, L.B., Maiboroda, R.E. Estimation of the discord time for a process of the Ornstein-Uhlenbeck type. Ukr Math J 45, 1339–1347 (1993). https://doi.org/10.1007/BF01058632

Download citation

  • Received:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF01058632

Keywords

Search

Navigation