On Ornstein–Uhlenbeck driven by Ornstein–Uhlenbeck processes
| Year of publication: |
2014
|
|---|---|
| Authors: | Bercu, Bernard ; Proïa, Frédéric ; Savy, Nicolas |
| Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 85.2014, C, p. 36-44
|
| Publisher: |
Elsevier |
| Subject: | Ornstein–Uhlenbeck process | Maximum likelihood estimation | Continuous-time Durbin–Watson statistic | Almost sure convergence | Asymptotic normality |