Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes

DOI10.1016/0898-1221(96)00060-0zbMath0864.60030OpenAlexW2056606895MaRDI QIDQ1921241

Yanyan Li

Publication date: 11 August 1996

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(96)00060-0

zbMATH Keywords

maximum-likelihood estimatorOrnstein-Uhlenbeck processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Distribution theory (60E99)

Related Items

New statistical investigations of the Ornstein-Uhlenbeck process. ⋮ Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process

Uses Software

• Maple

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Linear stochastic systems with constant coefficients. A statistical approach
• Hypothesis testing for nearly nonstationary autoregressive models
• Asymptotic inference for nearly nonstationary AR(1) processes
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• The Parameter Inference for Nearly Nonstationary Time Series
• On the Statistical Treatment of Linear Stochastic Difference Equations