Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions

DOI10.1023/B:SISP.0000026044.28647.56zbMath1056.62092OpenAlexW1984379003MaRDI QIDQ701967

Mathieu Kessler, Anders Rahbek

Publication date: 17 January 2005

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:sisp.0000026044.28647.56

zbMATH Keywords

identificationcointegrationcontinuous timematrix exponentialDiffusion processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Parametric inference under constraints (62F30) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02)

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