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arXiv · 1212.2800

On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

Bernard Bercu·Frederic Proia·Nicolas Savy
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Abstract

We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein-Uhlenbeck processes driven by Ornstein-Uhlenbeck processes.

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Bernard Bercu, Frederic Proia, Nicolas Savy. 2012-12-12. On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes. https://arxiv.org/abs/1212.2800

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