On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

Bernard Bercu (1, 2) , Frédéric Proïa (1, 2) , Nicolas Savy (3)

1 IMB - Institut de Mathématiques de Bordeaux
2 ALEA - Advanced Learning Evolutionary Algorithms
3 IMT - Institut de Mathématiques de Toulouse UMR5219

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.

Domaines: Probabilités [math.PR]

Bernard Bercu, Frédéric Proïa, Nicolas Savy. On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes. Statistics and Probability Letters, 2014, 85, pp.36-44. ⟨10.1016/j.spl.2013.11.002⟩. ⟨hal-00915963⟩