On parameter estimation of the hidden Ornstein-Uhlenbeck process Y. A. Kutoyants
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ArticleSubject(s): Орнштейна-Уленбека процесс | белый гауссовский шум | асимптотическая нормальность оценки | Калмана-Бьюси фильтрыGenre/Form: статьи в журналах Online resources: Click here to access online
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Journal of multivariate analysis Vol. 169. P. 248-263Abstract: This paper considers parameter estimation in the Ornstein–Uhlenbeck process observed in the presence of Gaussian white noise. We show the consistency and asymptotic normality of the maximum likelihood estimator in small-noise asymptotics. The data are assumed to arise from a non-homogeneous partially observed linear system. The construction and study of the estimator are based mainly on the asymptotics of the equations of Kalman–Bucy fil tration.
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This paper considers parameter estimation in the Ornstein–Uhlenbeck process observed in the presence of Gaussian white noise. We show the consistency and asymptotic normality of the maximum likelihood estimator in small-noise asymptotics. The data are assumed to arise from a non-homogeneous partially observed linear system. The construction and study of the estimator are based mainly on the asymptotics of the equations of Kalman–Bucy fil tration.
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