On adaptive optimal prediction of Ornstein-Uhlenbeck process


This paper suggests predictors for the Ornstein-Uhlenbeck process based on the truncated estimators of parameters. For these estimators there are established the asymptotic and non-asymptotic properties with guaranteed accuracy. Strong consistency of the obtained estimators is proved. There are investigated asymptotic properties of the predictors and shown their optimality

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Tomsk State University Repository

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