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

DOI10.1007/S11203-016-9137-1zbMATH Open1362.62049OpenAlexW2406161781MaRDI QIDQ523447FDOQ523447

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

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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)

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Cited In (1)

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

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