I would like to estimate Ornstein–Uhlenbeck process' parameters via Kalman filter.
My process is the following one:
I'm interested in CIR process, too:
and my goal is to find the values of $\alpha$, $\theta$ and $\beta$ using Kalman filter over a state-space representation of the process.
How may I describe such a process in a form suitable to state-space representation and Kalman filter?