On parameter estimation of the hidden Ornstein-Uhlenbeck process
This paper considers parameter estimation in the Ornstein-Uhlenbeck process observed in the presence of Gaussian white noise. We show the consistency and asymptotic normality of the maximum likelihood estimator in small-noise asymptotics. The data are assumed to arise from a non-homogeneous partiall...
| Published in: | Journal of multivariate analysis Vol. 169. P. 248-263 |
|---|---|
| Main Author: | |
| Format: | Article |
| Language: | English |
| Subjects: | |
| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000650576 Перейти в каталог НБ ТГУ |