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2019 On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
Yury A. Kutoyants
Electron. J. Statist. 13(2): 4508-4526 (2019). DOI: 10.1214/19-EJS1631

Abstract

We consider the problem of parameter estimation for the partially observed linear stochastic differential equation. We assume that the unobserved Ornstein-Uhlenbeck process depends on some unknown parameter and estimate the unobserved process and the unknown parameter simultaneously. We construct the One-step MLE-process for the estimator of the parameter and describe its large sample asymptotic properties, including consistency and asymptotic normality. Using the Kalman-Bucy filtering equations we construct recurrent estimators of the state and the parameter.

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Yury A. Kutoyants. "On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process." Electron. J. Statist. 13 (2) 4508 - 4526, 2019. https://doi.org/10.1214/19-EJS1631

Information

Received: 1 March 2019; Published: 2019
First available in Project Euclid: 8 November 2019

zbMATH: 07136623
MathSciNet: MR4029160
Digital Object Identifier: 10.1214/19-EJS1631

Subjects:
Primary: 62M05, 62M20
Secondary: 62F12

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Vol.13 • No. 2 • 2019
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