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arXiv:1212.2800 [math.PR]AbstractReferencesReviewsResources

On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

Bernard Bercu, Frederic Proia, Nicolas Savy

Published 2012-12-12Version 1

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.

Categories: math.PR, math.ST, stat.TH
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