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Author(s): Ana Prior
Marina Klepstyna
Paula Milheiro de Oliveira
Title: On maximum likelihood estimation of the drift matrix of a degenerated O¿U process
Issue Date: 2016
Abstract: 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
Subject: Estatística, Teoria das probabilidades, Matemática aplicada, Matemática
Document Type: Artigo em Revista Científica Internacional
Rights: openAccess
Appears in Collections:FEUP - Artigo em Revista Científica Internacional

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