Second-order continuous-time non-stationary Gaussian autoregression
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DOI: 10.1007/s11203-014-9090-9
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- Jankunas, Andrius & Khasminskii, Rafail Z., 1997. "Estimation of parameters of linear homogeneous stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 72(2), pages 205-219, December.
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- Ana Prior & Marina Kleptsyna & Paula Milheiro-Oliveira, 2017. "On maximum likelihood estimation of the drift matrix of a degenerated O–U process," Statistical Inference for Stochastic Processes, Springer, vol. 20(1), pages 57-78, April.
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More about this item
Keywords
Lyapunov exponent; Maximum likelihood estimation; Asymptotic mixed normality; Non-normal limit distribution; Rate of convergence; Second-order stochastic equation; Primary 62F12; Secondary 62F03; 62M07; 62M09;All these keywords.
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