Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Diffusion processes (60J60) Asymptotic properties of parametric tests (62F05)

Cites Work

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Robust parameter estimation for the Ornstein-Uhlenbeck process
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Testing for unit root processes in random coefficient autoregressive models
Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
A new stochastic mixed ridge estimator in linear regression model
Estimation and pricing under long-memory stochastic volatility
Bias in the estimation of the mean reversion parameter in continuous time models
Mildly explosive autoregression under weak and strong dependence
Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
Inference in regression models with many regressors
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process
On asymptotics of t-type regression estimation in multiple linear model
Functional coefficient autoregressive models for vector time series
\(M\)-estimation of linear models with dependent errors
Asymptotic inference for unit roots in spatial triangular autoregression
Time series: theory and methods
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Quadratic negligibility and the asymptotic normality of operator normed sums
Consistent autoregressive spectral estimates
A paradox in least-squares estimation of linear regression models
Relativistic Ornstein-Uhlenbeck process
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Successful couplings for a class of stochastic differential equations driven by Lévy processes
Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions
Drift estimation for a periodic mean reversion process
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Least squares estimation of linear regression models for convex compact random sets
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A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
Ornstein–Uhlenbeck–Cauchy process
Estimation of the input parameters in the Feller neuronal model
Linear Statistical Inference and its Applications
A Note on Regression when There is Extraneous Information about One of the Coefficients
Asymptotic normality of the Whittle estimator in linear regression models with long memory errors

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