Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes

JOURNAL OF MULTIVARIATE ANALYSIS

卷:59

Article

Pap, G ; vanZuijlen, MCA

关键词: multidimensional Ornstein-Uhlenbeck processes;    Radon-Nikodym derivative;   

DOI  :  10.1006/jmva.1996.0058

来源: Elsevier

【 摘 要 】

It is shown that the suitably normalized maximum likelihood estimators of some parameters of multidimensional Ornstein-Uhlenbeck processes with coefficient matrix of a special structure have exactly a normal distribution. This result provides a generalization to an arbitrary dimension of the well-known behavior of the estimator of the period of a complex AR(1) process. (C) 1996 Academic Press, Inc.

【 授权许可】

Free