Authors
Citation
G. Pap et Mca. Vanzuijlen, PARAMETER-ESTIMATION WITH EXACT DISTRIBUTION FOR MULTIDIMENSIONAL ORNSTEIN-UHLENBECK PROCESSES, Journal of Multivariate Analysis, 59(2), 1996, pp. 153-165
Citations number
12
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
ISSN journal
0047259X
Volume
59
Issue
2
Year of publication
1996
Pages
153 - 165
Database
ISI
SICI code
0047-259X(1996)59:2<153:PWEDFM>2.0.ZU;2-L
Abstract
It is shown that the suitably normalized maximum likelihood estimators
of some parameters of multidimensional Ornstein-Uhlenbeck processes w
ith coefficient matrix of a special structure have exactly a normal di
stribution. This result provides a generalization to an arbitrary dime
nsion of the well-known behavior of the estimator of the period of a c
omplex AR(1) process. (C) 1996 Academic Press, Inc.