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Subject: Re: Stochastic process - parameter estimation
Date: Tue, 19 May 2009 12:08:01 +0000 (UTC)
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Hi Thomas, depending on which toolboxes you have installed and which model you can reasonably posit for the process, there is a lot of functionality in place for that. Can you provide a bit more detail about your process. Can you reasonably assume that it is wide-sense stationary for example?

wayne

"Thomas " <meinl@iism.uni-karlsruhe.de> wrote in message <guu5u9$ajl$1@fred.mathworks.com>...
> 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