Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

DOI10.1214/19-EJS1636zbMath1434.62095arXiv1712.08665OpenAlexW2996492319MaRDI QIDQ2283575

Markus Scholz, Vicky Fasen-Hartmann

Publication date: 3 January 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.08665

zbMATH Keywords

Kalman filtercointegrationidentifiabilitystate space modelquasi-maximum likelihood estimationMCARMA process(super-)consistencypseudo-innovation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (6)

Whittle estimation for continuous-time stationary state space models with finite second moments ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Unnamed Item ⋮ Robust estimation of stationary continuous‐time arma models via indirect inference ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies ⋮ On non-stationary solutions to MSDDEs: representations and the cointegration space

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