Parameter Estimation with Exact Distribution for Multidimensional Ornstein-Uhlenbeck Processes

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.

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Year of publication:	1996
Authors:	Pap, Gyula ; Zuijlen, Martien C. A. van
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 59.1996, 2, p. 153-165
Publisher:	Elsevier
Subject:	multidimensional Ornstein-Uhlenbeck processes Radon-Nikodym derivative

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005221476