Estimation for Infinite Dimensional Ornstein-Uhlenbeck Processes.

Abstract

The maximum likelihood estimator for parameters in the generating operator of an infinite dimensional Ornstein-Uhlenbeck process is shown to be consistent and asymptotically normal. The generating operator of the process is assumed to be in the form of a finite linear combination of fixed commuting dissipating operators and the coefficients in the linear combination represent the unknown parameters. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1983
Accession Number
ADA135372

Entities

People

  • I. W. Mckeague

Organizations

  • Florida State University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Algorithms
  • Banach Space
  • Coefficients
  • Covariance
  • Data Science
  • Differential Equations
  • Eigenvalues
  • Equations
  • Estimators
  • Markov Processes
  • Mathematics
  • Statistical Algorithms
  • Statistical Inference
  • Statistics
  • Stochastic Control
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Linear Algebra
  • Statistical inference.