Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
Publication:1950896
DOI10.1214/12-EJS743zbMath1295.62020arXiv1210.7447MaRDI QIDQ1950896
Robert Stelzer, Eckhard Schlemm
Publication date: 28 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.7447
asymptotic normalitystrong mixingstrong consistencyquasi maximum likelihood estimationmultivariate CARMA processlinear state space model
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Stationary stochastic processes (60G10)
Related Items (11)
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