Abstract
The class of processes formed as the aggregation of Ornstein-Uhlenbeck processes has proved useful in modeling time series from a number of areas and includes several interesting special cases. This paper examines the second-order properties of this class. Bounds on the one-step prediction error variance are proved and consistency of the minimum contrast estimation is demonstrated.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability