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scientific article; zbMATH DE number 1051882
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scientific article; zbMATH DE number 1051882 |
Statements
25 August 1997
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AR processes
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Wiener process
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maximum likelihood estimator
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time series
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autocorrelation
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regression
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Markov processes: estimation
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0.8601112365722656
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0.7844815254211426
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0.7515186071395874
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0.7486321330070496
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The authors study the \(d\)-dimensional stochastic process \(X(t)\), \(t\geq 0\), given by the equation \[ dX(t) = A X(t) dt + dW(t), \;\;\;X(0) =0, \] where \(W(t)\) is a standard \(d\)-dimensional Wiener process and \(A= -\lambda I_d + \sum_{i=1}^m \omega_i C_i\) with known matrices \(C_1, \dots,C_m\). It is proved that if the matrices \(C_1, \dots, C_m\) satisfy some conditions then a certain normalized version of the maximum likelihood estimator of \((\omega_1, \dots, \omega_m)\) has standard normal distribution. Conditions on matrices here are weaker than those of \textit{G. Pap} and \textit{M. C. A. van Zuijlen} [J. Multivariate Anal. 59, No.2, 153-165 (1996; Zbl 0864.62056)].
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