On maximum likelihood estimation of the drift matrix of a degenerated O-U process

• Type: Article in International Scientific Journal
• Date: 2017

Authors

Ana Prior (Author) Other; Marina Kleptsyna (Author) Other; Paula Milheiro de Oliveira (Author) FEUP

Journal

Title: Statistical Inference for Stochastic Processes

Vol. 20 No. 1

Pages: 57-78

ISSN: 1387-0874

Publisher: Springer Nature

Indexing

ISI Web of Knowledge

Scopus - 0 Citations

Scientific classification

CORDIS: Physical sciences > Mathematics > Statistics ; Physical sciences > Mathematics > Probability theory

FOS: Natural sciences > Mathematics

CORDIS: Physical sciences > Mathematics > Applied mathematics

Other information

Authenticus ID: P-00K-GM8

DOI: 10.1007/s11203-016-9137-1

Abstract (EN): In this work, we consider a 2n-dimension Ornstein¿Uhlenbeck (O¿U) process with a singular diffusion matrix. This process represents a currently used model for mechanical systems subject to random vibrations. We study the problem of estimating the drift parameters of the stochastic differential equation that governs the O¿U process. The maximum likelihood estimator proposed and explored in Koncz (J Anal Math 13(1):75¿91, 1987) is revisited and applied to our model. We prove the local asymptotic normality property and the convergence of moments of the estimator. Simulation studies based on representative examples taken from the literature illustrate the obtained theoretical results. © 2016, Springer Science+Business Media Dordrecht.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 22