Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
From MaRDI portal
Publication:1951803
DOI10.1214/08-EJS290zbMath1320.62192arXiv0805.4535MaRDI QIDQ1951803
Philip Lee, Gopal Krishna Basak
Publication date: 24 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0805.4535
estimation; consistency; asymptotic efficiency; stable process; Ornstein-Uhlenbeck processes; drift coefficient matrix
62F12: Asymptotic properties of parametric estimators
62M05: Markov processes: estimation; hidden Markov models
60F15: Strong limit theorems
60J60: Diffusion processes
Related Items
On maximum likelihood estimation of the drift matrix of a degenerated O-U process, Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators, Likelihood theory for the graph Ornstein-Uhlenbeck process, Second-order continuous-time non-stationary Gaussian autoregression, Asymptotic Properties of the LS-estimator of a Gaussian Autoregressive Process by an Averaging Method
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