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arXiv · 1206.1379

Second-order continuous-time non-stationary Gaussian autoregression

Ning Lin·Sergey V. Lototsky
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Abstract

The objective of the paper is to identify and investigate all possible types of asymptotic behavior for the maximum likelihood estimators of the unknown parameters in the second-order linear stochastic ordinary differential equation driven by Gaussian white noise. The emphasis is on the non-ergodic case, when the roots of the corresponding characteristic equation are not both in the left half-plane.

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Ning Lin, Sergey V. Lototsky. 2012-06-07. Second-order continuous-time non-stationary Gaussian autoregression. https://arxiv.org/abs/1206.1379

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