| Title |
Difuzijų, turinčių stacionarųjį tankį, parametrų vertinimas / |
| Translation of Title |
Estimation of parameters of diffusions having a stationary distribution. |
| Authors |
Banys, Povilas |
| Full Text |
|
| Pages |
45 |
| Abstract [eng] |
We consider the estimation of unknown parameters in the drift and diffusion coefficients of a one-dimension diffusion X when the observation is a discrete sample. For the estimation we use stationary distribution function. Using numerical methods we approximate SDE and realize the algorithm with computer. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2014 |
