Undamped Harmonic Oscillator Driven by Additive Gaussian White Noise: a Statistical Analysis
نویسنده
چکیده
While consistency of the maximum likelihood estimator of the drift matrix in a multi-dimensional continuous time Ornstein-Uhlenbeck process holds under rather general conditions, little is known about the rate of convergence and the limiting distribution of the estimator when the underlying process is not ergodic. The objective of the paper is to investigate these questions for an important example of a non-ergodic two-dimensional Ornstein-Uhlenbeck process: an undamped harmonic oscillator.
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