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Parameter Estimation with Exact Distribution for Multidimensional Ornstein-Uhlenbeck Processes


  • Pap, Gyula
  • van Zuijlen, Martien C. A.


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.

Suggested Citation

  • Pap, Gyula & van Zuijlen, Martien C. A., 1996. "Parameter Estimation with Exact Distribution for Multidimensional Ornstein-Uhlenbeck Processes," Journal of Multivariate Analysis, Elsevier, vol. 59(2), pages 153-165, November.
  • Handle: RePEc:eee:jmvana:v:59:y:1996:i:2:p:153-165

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    Cited by:

    1. Emanuele Taufer, 2008. "Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes," DISA Working Papers 0805, Department of Computer and Management Sciences, University of Trento, Italy, revised 07 Jul 2008.


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