On maximum likelihood estimation of the drift matrix of a degenerated O-U process

DOI10.1007/S11203-016-9137-1MaRDI QIDQ523447zbMATH OpenOpenAlexFDO

Authors Ana Prior, Marina Kleptsyna, Paula Milheiro-Oliveira

Publication date 21 April 2017

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

Full work available at URL https://doi.org/10.1007/s11203-016-9137-1

zbMATH Keywords

Ornstein-Uhlenbeck processmaximum likelihood estimatorlocal asymptotic normality propertysingular diffusion matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• On maximum likelihood estimation of parameters of Ornstein-Uhlenbeck processes
• New statistical investigations of Ornstein-Uhlenbeck process. II. Simulation
• New statistical investigations of the Ornstein-Uhlenbeck process.
• Maximum likelihood estimation for the skew Ornstein-Uhlenbeck processes
• Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift

Cites work

• scientific article; zbMATH DE number 3642439 (Why is no real title available?)
• scientific article; zbMATH DE number 2134056 (Why is no real title available?)
• scientific article; zbMATH DE number 3557389 (Why is no real title available?)
• scientific article; zbMATH DE number 3439537 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• scientific article; zbMATH DE number 5224882 (Why is no real title available?)
• A contrast estimator for completely or partially observed hypoelliptic diffusion
• Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
• Estimation of the mean of multivariate AR processes
• Linear stochastic systems with constant coefficients. A statistical approach
• On the Linear-Exponential Filtering Problem for General Gaussian Processes
• On the parameter estimation of diffusional type processes with constant coefficients (elementary Gaussian processes)
• Second-order continuous-time non-stationary Gaussian autoregression
• Statistical inference for ergodic diffusion processes.
• Undamped harmonic oscillator driven by additive Gaussian white noise: a statistical analysis

Cited in

(1)

• Undamped harmonic oscillator driven by additive Gaussian white noise: a statistical analysis

This page was built for publication: On maximum likelihood estimation of the drift matrix of a degenerated O-U process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q523447)