Functionals of complex Ornstein-Uhlenbeck processes.

DOI10.1016/S0898-1221(98)00237-5MaRDI QIDQ1962940zbMATH OpenFDO

Authors Yanyan Li

Publication date 20 January 2000

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0898-1221(98)00237-5

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

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Cites work

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• Limiting distributions of least squares estimates of unstable autoregressive processes
• Nearly unstable multidimensional AR processes
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
• The calculation of cumulants via conditioning

Cited in

(4)

• D-optimal designs for complex Ornstein-Uhlenbeck processes
• Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
• On the optimal designs for the prediction of complex Ornstein-Uhlenbeck processes
• Exponentially weighted resolvent estimates for complex Ornstein-Uhlenbeck systems

Describes a project that uses

Uses Software

• Matlab

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