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arXiv · 2203.12841

Parameter estimation for ergodic linear SDEs from partial and discrete observations

Masahiro Kurisaki
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Abstract

We consider a problem of parameter estimation for the state space model described by linear stochastic differential equations. We assume that an unobservable Ornstein-Uhlenbeck process drives another observable process by the linear stochastic differential equation, and these two processes depend on some unknown parameters. We construct the quasi-likelihood estimator (QMLE) of the unknown parameters and show asymptotic properties of the estimator.

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Masahiro Kurisaki. 2022-03-24. Parameter estimation for ergodic linear SDEs from partial and discrete observations. https://arxiv.org/abs/2203.12841

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