2000 character limit reached
Parameter estimation for ergodic linear SDEs from partial and discrete observations (2203.12841v1)
Published 24 Mar 2022 in math.ST and stat.TH
Abstract: We consider a problem of parameter estimation for the state space model described by linear stochastic differential equations. We assume that an unobservable Ornstein-Uhlenbeck process drives another observable process by the linear stochastic differential equation, and these two processes depend on some unknown parameters. We construct the quasi-likelihood estimator (QMLE) of the unknown parameters and show asymptotic properties of the estimator.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.
