A note on confidence intervals for parameter estimates of a spatio-temporal Ornstein-Uhlenbeck process
Methodology
2017-07-25 v2
Abstract
We compare two ways of constructing confidence intervals for the moments-matching parameter estimates of a Gaussian spatio-temporal Ornstein-Uhlenbeck process. It was found that those obtained via pairwise likelihood approximations had lower coverages and were more prone to the curse of dimensionality as opposed to those from a parametric bootstrap procedure.
Keywords
Cite
@article{arxiv.1612.05462,
title = {A note on confidence intervals for parameter estimates of a spatio-temporal Ornstein-Uhlenbeck process},
author = {Michele Nguyen and Almut E. D. Veraart},
journal= {arXiv preprint arXiv:1612.05462},
year = {2017}
}