On Ornstein–Uhlenbeck driven by Ornstein–Uhlenbeck processes

Bernard Bercu, Frédéric Proïa and Nicolas Savy

Statistics & Probability Letters, 2014, vol. 85, issue C, 36-44

Abstract: We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein–Uhlenbeck processes driven by Ornstein–Uhlenbeck processes.

Keywords: Ornstein–Uhlenbeck process; Maximum likelihood estimation; Continuous-time Durbin–Watson statistic; Almost sure convergence; Asymptotic normality (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:85:y:2014:i:c:p:36-44

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DOI: 10.1016/j.spl.2013.11.002

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