Parameter Estimation with Exact Distribution for Multidimensional Ornstein-Uhlenbeck Processes

Gyula Pap and Martien C. A. van Zuijlen

Journal of Multivariate Analysis, 1996, vol. 59, issue 2, 153-165

Abstract: 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.

Keywords: multidimensional; Ornstein-Uhlenbeck; processes; Radon-Nikodym; derivative (search for similar items in EconPapers)
Date: 1996
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