title: Ornstein-Uhlenbeck process and its application.
abstract: The paper deals with the Ornstein-Uhlenbeck process (O-U), its approximation by discrete random processes designed for modelling of the O-U process and some methods of statistical evaluation. The known elementary properties of the O-U process and its discretization are summarized. As to the statistical methods, the maximum-likelihood estimates of parameters of the O-U process and some methods for hypothesis testing are demonstrated on results obtained by simulation of the O-U process on the computer.
authors.affiliation: Department of Microbiology, Medical Faculty, Palacký University, Olomoue, Czechoslovakia.
authors.forename: J
authors.initials: J
authors.lastname: Mohapl
mesh_terms: D013269:Stochastic Processes