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

Published 25 Jul 2013 in math.ST and stat.TH | (1307.6865v1)

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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