Vector‐valued generalized Ornstein–Uhlenbeck processes: Properties and parameter estimation

DOI10.1111/sjos.12552zbMath1496.62158arXiv1909.02376OpenAlexW3189858988MaRDI QIDQ5043789

Marko Voutilainen, Soledad Torres, Pauliina Ilmonen, Ciprian A. Tudor, Lauri Viitasaari

Publication date: 6 October 2022

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

Full work available at URL: https://arxiv.org/abs/1909.02376

zbMATH Keywords

consistencyLangevin equationstationary processesalgebraic Riccati equationsnonparametric estimationmultivariate Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Stationary stochastic processes (60G10)

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