Estimation and inference for multivariate continuous-time autoregressive processes

DOI10.1214/25-AAP2244MaRDI QIDQ6846934zbMATH OpenFDO

Authors Lorenzo Lucchese, Mikko S. Pakkanen, Almut E. D. Veraart

Publication date 10 March 2026

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/annals-of-applied-probability/volume-36/issue-1/Estimation-and-inference-for-multivariate-continuous-time-autoregressive-processes/10.1214/25-AAP2244.full

zbMATH Keywords

asymptotic propertiesmaximum likelihoodestimationOrnstein-Uhlenbeck processautoregressivestate-space modelsinferencecontinuous-timegraph topologyLévy process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Continuity and singularity of induced measures (60G30)

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