Second-order continuous-time non-stationary Gaussian autoregression

DOI10.1007/S11203-014-9090-9zbMath1333.62226arXiv1206.1379OpenAlexW1977162131MaRDI QIDQ2450913

Yanyan Li

Publication date: 23 May 2014

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.1379

zbMATH Keywords

rate of convergencemaximum likelihood estimationLyapunov exponentasymptotic mixed normalitynon-normal limit distributionsecond-order stochastic equation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99)

Related Items (2)

Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation ⋮ On maximum likelihood estimation of the drift matrix of a degenerated O-U process

Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
• Asymptotic optimal inference for non-ergodic models
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Local asymptotic mixed normality for semimartingale experiments
• Asymptotic minimax results for stochastic process families with critical points
• Statistical inference for ergodic diffusion processes.
• Asymptotics in statistics. Some basic concepts.
• Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
• Estimation of parameters of linear homogeneous stochastic differential equations
• Maximum likelihood estimation for continuous-time stochastic processes
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