Effect of sampling on the estimation of drift parameter of continuous time AR(1) processes

2013/07/25 by Radhendushka Srivastava, Ping Li, Srivastava, Radhendushka +1
Computer Science · Decision Sciences · Mathematics · #Advanced Statistical Process Monitoring #Distributed Sensor Networks and Detection Algorithms #FOS: Mathematics #Statistics Theory (math.ST) #Target Tracking and Data Fusion in Sensor Networks #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1307.6865

arxiv created 2013/07/25 · openalex publication_date 2013/07/25 · arxiv updated 2013/07/29 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

Abstract

We study the effect of stochastic sampling on the estimation of the drift parameter of continuous time AR(1) process. A natural distribution free moment estimator is considered for the drift based on stochastically observed time points. The effect of the constraint of the minimum separation between successive samples on the estimation of the drift is studied.

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