Parameter Estimation with Exact Distribution for Multidimensional Ornstein-Uhlenbeck Processes
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.
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Volume (Year): 59 (1996)
Issue (Month): 2 (November)
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