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https://hdl.handle.net/10216/116122
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DC Field | Value | Language |
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dc.creator | Ana Prior | |
dc.creator | Marina Kleptsyna | |
dc.creator | Paula Milheiro de Oliveira | |
dc.date.accessioned | 2022-09-13T13:20:01Z | - |
dc.date.available | 2022-09-13T13:20:01Z | - |
dc.date.issued | 2017 | |
dc.identifier.issn | 1387-0874 | |
dc.identifier.other | sigarra:292583 | |
dc.identifier.uri | https://hdl.handle.net/10216/116122 | - |
dc.description.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. | |
dc.language.iso | eng | |
dc.rights | openAccess | |
dc.subject | Estatística, Matemática aplicada, Teoria das probabilidades, Matemática | |
dc.subject | Statistics, Applied mathematics, Probability theory, Mathematics | |
dc.title | On maximum likelihood estimation of the drift matrix of a degenerated O-U process | |
dc.type | Artigo em Revista Científica Internacional | |
dc.contributor.uporto | Faculdade de Engenharia | |
dc.identifier.doi | 10.1007/s11203-016-9137-1 | |
dc.identifier.authenticus | P-00K-GM8 | |
dc.subject.fos | Ciências exactas e naturais::Matemática | |
dc.subject.fos | Natural sciences::Mathematics | |
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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