Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
نویسندگان
چکیده
منابع مشابه
Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
We consider quasi maximum likelihood (QML) estimation for general non-Gaussian discrete-time linear state space models and equidistantly observed multivariate Lévy-driven continuous-time autoregressive moving average (MCARMA) processes. In the discrete-time setting, we prove strong consistency and asymptotic normality of the QML estimator under standard moment assumptions and a strong-mixing co...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2012
ISSN: 1935-7524
DOI: 10.1214/12-ejs743