scientific article; zbMATH DE number 946315

MaRDI QIDQ4715480zbMATHFDO

Authors Birgit Gaschler

Publication date 17 November 1996

zbMATH Keywords

asymptotic normalityBartlett correctionsimulationsmaximum likelihood estimatorsOrnstein-Uhlenbeck processessmall sample performanceGauss-Markov processesweak consistencysimultaneous asymptotic confidence estimation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

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(9)

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• Consistency and asymptotic normality of maximum likelihood estimation for Gaussian Markov processes from discrete observations
• On the parameter estimation of diffusional type processes with constant coefficients (elementary Gaussian processes)
• Parameter estimation and model testing for Markov processes via conditional characteristic functions
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