Parameter estimation for ergodic linear SDEs from partial and discrete observations
Statistics Theory
2022-03-25 v1 Statistics Theory
Abstract
We consider a problem of parameter estimation for the state space model described by linear stochastic differential equations. We assume that an unobservable Ornstein-Uhlenbeck process drives another observable process by the linear stochastic differential equation, and these two processes depend on some unknown parameters. We construct the quasi-likelihood estimator (QMLE) of the unknown parameters and show asymptotic properties of the estimator.
Cite
@article{arxiv.2203.12841,
title = {Parameter estimation for ergodic linear SDEs from partial and discrete observations},
author = {Masahiro Kurisaki},
journal= {arXiv preprint arXiv:2203.12841},
year = {2022}
}