Estimation for Infinite Dimensional Ornstein-Uhlenbeck Processes.
FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS
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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
- Statistics and Probability