Abstract
A discrete Markov process in an asymptotic diffusion environment with a uniformly ergodic embedded Markov chain can be approximated by an Ornstein–Uhlenbeck process with evolution. The drift parameter estimation is obtained using the stationarity of the Gaussian limit process.
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Translated from Kibernetika i Sistemnyi Analiz, No. 5, September–October, 2020, pp. 55–62.
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Koroliuk, V.S., Koroliouk, D. & Dovgyi, S.O. Diffusion Process with Evolution and its Parameter Estimation. Cybern Syst Anal 56, 732–738 (2020). https://doi.org/10.1007/s10559-020-00293-y
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DOI: https://doi.org/10.1007/s10559-020-00293-y