On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

Bernard Bercu 1, 2 Frédéric Proïa 1, 2 Nicolas Savy 3
2 ALEA - Advanced Learning Evolutionary Algorithms
Inria Bordeaux - Sud-Ouest, UB - Université de Bordeaux, CNRS - Centre National de la Recherche Scientifique : UMR5251
Abstract : 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.
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Bernard Bercu, Frédéric Proïa, Nicolas Savy. On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes. Statistics and Probability Letters, Elsevier, 2014, 85, pp.36-44. ⟨10.1016/j.spl.2013.11.002⟩. ⟨hal-00915963⟩

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