Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable

@inproceedings{Basak2008AsymptoticPO,
  title={Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable},
  author={Gopal K. Basak and Philip P. K. Lee},
  year={2008}
}
  • Gopal K. Basak, Philip P. K. Lee
  • Published 2008
  • Mathematics
  • In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, $F$, of Ornstein-Uhlenbeck processes that are not necessarily stable. We consider all the cases. (1) The eigenvalues of $F$ are in the right half space (i.e., eigenvalues with positive real parts). In this case the process grows exponentially fast. (2) The eigenvalues of $F$ are on the left half space (i.e., the eigenvalues with negative or zero real parts). The process where all… CONTINUE READING

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