Please use this identifier to cite or link to this item:
https://hdl.handle.net/10216/116122
Author(s): | Ana Prior Marina Kleptsyna Paula Milheiro de Oliveira |
Title: | On maximum likelihood estimation of the drift matrix of a degenerated O-U process |
Issue Date: | 2017 |
Abstract: | In this work, we consider a 2n-dimension OrnsteinUhlenbeck (OU) 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 OU process. The maximum likelihood estimator proposed and explored in Koncz (J Anal Math 13(1):7591, 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. (c) 2016, Springer Science+Business Media Dordrecht. |
Subject: | Estatística, Matemática aplicada, Teoria das probabilidades, Matemática Statistics, Applied mathematics, Probability theory, Mathematics |
Scientific areas: | Ciências exactas e naturais::Matemática Natural sciences::Mathematics |
URI: | https://hdl.handle.net/10216/116122 |
Document Type: | Artigo em Revista Científica Internacional |
Rights: | openAccess |
Appears in Collections: | FEUP - Artigo em Revista Científica Internacional |
Files in This Item:
File | Description | Size | Format | |
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292583.pdf | 507.28 kB | Adobe PDF | View/Open |
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