Accession Number:

ADA135372

Title:

Estimation for Infinite Dimensional Ornstein-Uhlenbeck Processes.

Descriptive Note:

Technical rept.,

Corporate Author:

FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS

Personal Author(s):

Report Date:

1983-10-01

Pagination or Media Count:

12.0

Abstract:

The maximum likelihood estimator for parameters in the generating operator of an infinite dimensional Ornstein-Uhlenbeck process is shown to be consistent and asymptotically normal. The generating operator of the process is assumed to be in the form of a finite linear combination of fixed commuting dissipating operators and the coefficients in the linear combination represent the unknown parameters. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE