On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

DOI10.1016/j.spl.2013.11.002zbMath1285.62098arXiv1212.2800MaRDI QIDQ2446700

Bernard Bercu, Nicolas Savy, Frédéric Proïa

Publication date: 17 April 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.2800

zbMATH Keywords

asymptotic normality; maximum likelihood estimation; almost sure convergence; continuous-time Durbin-Watson statistics

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M05: Markov processes: estimation; hidden Markov models

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