Asymptotic Likelihood Based Inference for Co-integrated Homogenous Gaussian Diffusions

DOI10.1111/1467-9469.00248zbMath0981.62069OpenAlexW2169161101WikidataQ57718466 ScholiaQ57718466MaRDI QIDQ2771550

Anders Rahbek, Mathieu Kessler

Publication date: 17 February 2002

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

Full work available at URL: https://doi.org/10.1111/1467-9469.00248

zbMATH Keywords

asymptotic expansionslikelihood ratio tests

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02)

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Frequency domain estimation of temporally aggregated Gaussian cointegrated systems ⋮ On the relationship between the theory of cointegration and the theory of phase synchronization ⋮ Limit Theory for High Frequency Sampled MCARMA Models ⋮ Oscillating systems with cointegrated phase processes ⋮ On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model ⋮ Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies ⋮ ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS

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