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Subject: Stochastic process - parameter estimation
Date: Tue, 19 May 2009 11:42:01 +0000 (UTC)
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Hi,

I have a time series (sample) and suppose it consists of one or the sum of several stochastic processes, their structure already known (e.g. Brownian motion, Poisson process, ...). Now I'd like to estimate the respective (yet unknown) parameters so that in the end I'll have a best fit, regarding the characteristics of the sampled series.

Could anyone give me a hint how to proceed or where to begin? Is there a functionality implemented in MATLAB capable of doing this?

Thank you.

Thomas