Functionals of complex Ornstein-Uhlenbeck processes.

DOI10.1016/S0898-1221(98)00237-5zbMath1043.62527MaRDI QIDQ1962940

Yanyan Li

Publication date: 20 January 2000

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

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

D-optimal designs for complex Ornstein-Uhlenbeck processes ⋮ On the optimal designs for the prediction of complex Ornstein-Uhlenbeck processes ⋮ Exponentially weighted resolvent estimates for complex Ornstein-Uhlenbeck systems

Uses Software

• Matlab

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
• Nearly unstable multidimensional AR processes
• The calculation of cumulants via conditioning
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• On the Statistical Treatment of Linear Stochastic Difference Equations
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