On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

Bernard Bercu; Frédéric Pro?a; Nicolas Savy

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On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

机译：关于由Ornstein-Uhlenbeck过程驱动的Ornstein-Uhlenbeck

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摘要

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.

机译：我们研究了由Ornstein-Uhlenbeck过程驱动的正向复发性Ornstein-Uhlenbeck过程的未知参数的最大似然估计的渐近行为。

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来源
《Statistics & Probability Letters》 |2014年第null期|共9页
作者
Bernard Bercu; Frédéric Pro?a; Nicolas Savy;
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正文语种 eng
中图分类 O_211;
关键词
Ornstein-Uhlenbeck process; Maximum likelihood estimation; Continuous-time Durbin-Watson statistic; Almost sure convergence; Asymptotic normality;

机译：Ornstein-Uhlenbeck过程;最大似然估计;连续时间Durbin-Watson统计;几乎肯定收敛;渐近正态性;

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1. On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes [J] . Bernard Bercu, Frédéric Pro?a, Nicolas Savy Statistics & Probability Letters . 2014,第Null期

机译：关于由Ornstein-Uhlenbeck过程驱动的Ornstein-Uhlenbeck
2. Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Levy processes with periodic mean [J] . Shen Guangjun, Yu Qian, Li Yunmeng Frontiers of mathematics in China . 2019,第6期

机译：具有周期均值的分数列征过程驱动的Ornstein-Uhlenbeck过程的最小二乘估计
3. Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes [J] . Wu Yanfeng, Hu Jianqiang, Zhang Xinsheng Discrete event dynamic systems: Theory and applications . 2019,第1期

机译：由复合泊松过程驱动的Ornstein-Uhlenbeck过程的时刻估算器
4. The Ornstein-Uhlenbeck Processes Driven by Levy Process and Application to Finance [C] . International conference in electronic engineering and computing technology . 2010

机译：由征收流程和申请提供资金的Ornstein-Uhlenbeck流程
5. Inference in Multivariate Generalized Ornstein-Uhlenbeck Processes With a Change-Point [D] . Shen, Lei. 2018

机译：具有变化点的多元广义Ornstein-Uhlenbeck过程的推断
6. Experimental evidence that the Ornstein-Uhlenbeck model best describes the evolution of leaf litter decomposability [O] . Xu Pan, Johannes H C Cornelissen, Wei-Wei Zhao, 2014

机译：实验证明Ornstein-Uhlenbeck模型最能描述叶片凋落物可分解性的演变
7. HARNACK INEQUALITIES FOR ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY LÉVY PROCESSES [O] . 2016

机译：LÉVY过程驱动的ORNsTEIN-UHLENBECK过程的HaRNaCK不等式

On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

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