Abstract
AbstractWe 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-maximum likelihood estimator of the unknown parameters and show asymptotic properties of the estimator.
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability