On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

被引：11
|
作者：
Bercu, Bernard [1 ,2 ]
Proia, Frederic [1 ,2 ]
Savy, Nicolas [3 ]
机构：
[1] Univ Bordeaux 1, Inst Math Bordeaux, UMR 5251, F-33405 Talence, France
[2] INRIA Bordeaux Sud Ouest, Team ALEA, F-33405 Talence, France
[3] Univ Toulouse 3, UMR C5583, Inst Math Toulouse, F-31062 Toulouse 09, France
来源：
STATISTICS & PROBABILITY LETTERS | 2014年 / 85卷
关键词：
Ornstein-Uhlenbeck process; Maximum likelihood estimation; Continuous-time Durbin-Watson statistic; Almost sure convergence; Asymptotic normality; SERIAL-CORRELATION; DURBIN;
D O I：
10.1016/j.spl.2013.11.002
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein-Uhlenbeck processes driven by Ornstein-Uhlenbeck processes. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：36 / 44
页数：9
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