Parameter Estimation from Occupation Times
arXiv:1105.5552
Abstract
We derive an equation to compute directly the expected occupation time of the centered Ornstein-Uhlenbeck process. This allows us to identify the parameters of the Ornstein-Uhlenbeck process for available occupation times via a standard least squares minimization. To test the method, we generate occupation times via Monte-Carlo simulations and recover the parameters with the above mentioned procedure.
13 pages, 2 figures