On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

DOI10.1016/j.spl.2013.11.002zbMath1285.62098arXiv1212.2800OpenAlexW2007347740MaRDI QIDQ2446700

Bernard Bercu, Nicolas Savy, Frédéric Proïa

Publication date: 17 April 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.2800

zbMATH Keywords

asymptotic normalitymaximum likelihood estimationalmost sure convergencecontinuous-time Durbin-Watson statistics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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