scientific article; zbMATH DE number 1051882
The authors study the \(d\)-dimensional stochastic process \(X(t)\), \(t\geq 0\), given by the equation \[ dX(t) = A X(t) dt + dW(t), \;\;\;X(0) =0, \] where \(W(t)\) is a standard \(d\)-dimensional Wiener process and \(A= -\lambda I_d + \sum_{i=1}^m \omega_i C_i\) with known matrices \(C_1, \dots,C_m\). It is proved that if the matrices \(C_1, \dots, C_m\) satisfy some conditions then a certain normalized version of the maximum likelihood estimator of \((\omega_1, \dots, \omega_m)\) has standard normal distribution. Conditions on matrices here are weaker than those of \textit{G. Pap} and \textit{M. C. A. van Zuijlen} [J. Multivariate Anal. 59, No.2, 153-165 (1996; Zbl 0864.62056)].
- Maximum likelihood estimators of parameters of multidimensional stationary Gaussian AR processes
- The distribution of estimates of parameters of multidimensional stationary AR processes
- scientific article; zbMATH DE number 1111392
- Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
- Étude de l'estimateur du maximum de vraisemblance dans le cas d'un processus autorégressif: convergence, normalité asymptotique, vitesse de convergence. (Asymptotic behaviour of maximum likelihood estimator in an autoregressive process: consistency, as
- Maximum likelihood estimators of parameters of multidimensional stationary Gaussian AR processes
- The distribution of estimates of parameters of multidimensional stationary AR processes
- Parameter estimation for INAR processes based on high-order statistics
- Multiscale statistical signal processing: identification of a multiscale AR process from a sample of an ordinary signal
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4349900)
