Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

DOI10.1214/19-EJS1636zbMATH Open1434.62095arXiv1712.08665OpenAlexW2996492319MaRDI QIDQ2283575FDOQ2283575

Authors: Vicky Fasen-Hartmann, Markus Scholz 

Publication date: 3 January 2020

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

Abstract: In this paper, we investigate quasi-maximum likelihood (QML) estimation for the parameters of a cointegrated solution of a continuous-time linear state space model observed at discrete time points. The class of cointegrated solutions of continuous-time linear state space models is equivalent to the class of cointegrated continuous-time ARMA (MCARMA) processes. As a start, some pseudo-innovations are constructed to be able to define a QML-function. Moreover, the parameter vector is divided appropriately in long-run and short-run parameters using a representation for cointegrated solutions of continuous-time linear state space models as a sum of a L'evy process plus a stationary solution of a linear state space model. Then, we establish the consistency of our estimator in three steps. First, we show the consistency for the QML estimator of the long-run parameters. In the next step, we calculate its consistency rate. Finally, we use these results to prove the consistency for the QML estimator of the short-run parameters. After all, we derive the limiting distributions of the estimators. The long-run parameters are asymptotically mixed normally distributed, whereas the short-run parameters are asymptotically normally distributed. The performance of the QML estimator is demonstrated by a simulation study.

Full work available at URL: https://arxiv.org/abs/1712.08665

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zbMATH Keywords

Kalman filterquasi-maximum likelihood estimationstate space modelidentifiabilitycointegrationMCARMA process(super-)consistencypseudo-innovation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05)

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Cited In (7)

• Cointegrated continuous-time linear state-space and MCARMA models
• Whittle estimation for continuous-time stationary state space models with finite second moments
• Robust estimation of stationary continuous-time ARMA models via indirect inference
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• Regular kernel method for state space model
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• On non-stationary solutions to MSDDEs: representations and the cointegration space

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