| Title | Diffusion approximation of statistical experiments with persistent linear regression and equilibrium |
| Publication Type | Journal Article |
| Year of Publication | 2014 |
| Authors | Koroliouk, DV |
| Abbreviated Key Title | Dopov. Nac. akad. nauk Ukr. |
| DOI | 10.15407/dopovidi2014.03.018 |
| Issue | 3 |
| Section | Mathematics |
| Pagination | 18-24 |
| Date Published | 3/2014 |
| Language | Russian |
| Abstract | We propose an approximation of statistical experiments with persistent linear regression and equilibrium by Markov processes in the discrete-continuous time: $k = [Nt]$, $0 \leq t \leq T$, for which the diffusion approximation of an Ornstein–Uhlenbeck-type process with continuous time is constructed.
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| Keywords | diffusion approximation, equilibrium, regression, statistical experiments |
References:
1. Koroliuk D. V. Ukr. mat. vestn., 2012, 9, No. 4: 560–567 (in Russian).
2. Koroliuk D. V. Ukr. mat. vestn., 2013, 10, No. 4: 497-506 (in Russian).
3. Ethier S. N., Kurtz T. G. Markov processes: characterization and convergence. New York: Wiley, 1986. https://doi.org/10.1002/9780470316658
4. Skorokhod A.V. Asymptotic methods in the theory of stochastic differential equations, Kiev: Nauk. Dumka, 1987 (in Russian).
5. Koroliuk V. S., Limnios N. Stochastic systems in merging phase space. Singapore; London: World Scientific, 2005. https://doi.org/10.1142/5979
6. Gikhman I. I., Skorokhod A. V. Stochastic differential equations and their applications, Kyiv: Nauk. dumka, 1982 (in Russian).
