Maximum likelihood estimators of parameters of multidimensional stationary Gaussian AR processes (Q1323603)
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scientific article; zbMATH DE number 579947
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimators of parameters of multidimensional stationary Gaussian AR processes |
scientific article; zbMATH DE number 579947 |
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Maximum likelihood estimators of parameters of multidimensional stationary Gaussian AR processes (English)
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1 June 1994
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This article is devoted to the estimation of the matrix \(A\) under the given stationary process \(X\), which satisfies an equation \[ dX(t) = AX(t)dt + dW(t), \] where \(\{W(t); t \geq 0\}\) is a \(k\)-dimensional standard Wiener process. The very special kind of \(A\) allows to obtain a maximum likelihood estimator for its parameters and to consider its properties.
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multidimensional stationary process
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Wiener process
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maximum likelihood estimator
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