Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes

DOI10.1214/12-EJS743zbMATH Open1295.62020arXiv1210.7447MaRDI QIDQ1950896FDOQ1950896

Authors: Eckhard Schlemm, Robert Stelzer 

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We consider quasi maximum likelihood (QML) estimation for general non-Gaussian discrete-ime linear state space models and equidistantly observed multivariate L'evy-driven continuoustime autoregressive moving average (MCARMA) processes. In the discrete-time setting, we prove strong consistency and asymptotic normality of the QML estimator under standard moment assumptions and a strong-mixing condition on the output process of the state space model. In the second part of the paper, we investigate probabilistic and analytical properties of equidistantly sampled continuous-time state space models and apply our results from the discrete-time setting to derive the asymptotic properties of the QML estimator of discretely recorded MCARMA processes. Under natural identifiability conditions, the estimators are again consistent and asymptotically normally distributed for any sampling frequency. We also demonstrate the practical applicability of our method through a simulation study and a data example from econometrics.

Full work available at URL: https://arxiv.org/abs/1210.7447

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zbMATH Keywords

asymptotic normalitystrong consistencystrong mixingquasi maximum likelihood estimationmultivariate CARMA processlinear state space model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)

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Cited In (12)

• Cointegrated continuous-time linear state-space and MCARMA models
• Whittle estimation for continuous-time stationary state space models with finite second moments
• Factorization and discrete-time representation of multi-variate CARMA processes
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