Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
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Publication:1126154
DOI10.1006/JMVA.1996.0058zbMath0864.62056OpenAlexW1996177192MaRDI QIDQ1126154
Martien C. A. Van Zuijlen, Gyula Pap
Publication date: 23 February 1997
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jmva.1996.0058
Radon-Nikodym derivativecomplex AR(1) processmultidimensional Ornstein-Uhlenbeck processesnormalized maximum likelihood estimators
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
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Likelihood theory for the graph Ornstein-Uhlenbeck process ⋮ Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes ⋮ New statistical investigations of the Ornstein-Uhlenbeck process. ⋮ Functionals of complex Ornstein-Uhlenbeck processes. ⋮ Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion ⋮ Convergence of random step lines to Ornstein-Uhlenbeck-type processes
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