On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

被引：12

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

页码：36 / 44

页数：9

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