Parameter estimation for ergodic linear SDEs from partial and discrete observations

DOI10.1007/S11203-023-09288-WMaRDI QIDQ6166017zbMATH OpenOpenAlexFDO

Authors Masahiro Kurisaki

Publication date 6 July 2023

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2203.12841

zbMATH Keywords

state space modelKalman-Bucy filterquasi-likelihood analysishidden Ornstein Uhlenbeck modelpartially observed linear model

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Abstract: We consider a problem of parameter estimation for the state space model described by linear stochastic differential equations. We assume that an unobservable Ornstein-Uhlenbeck process drives another observable process by the linear stochastic differential equation, and these two processes depend on some unknown parameters. We construct the quasi-likelihood estimator (QMLE) of the unknown parameters and show asymptotic properties of the estimator.

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Cited in

(2)

• Parametric inference for hypoelliptic ergodic diffusions with full observations
• Hidden AR process and adaptive Kalman filter

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