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) : McKeague,I W

PDF Url : ADA135372

Report Date : Oct 1983

Pagination or Media Count : 12

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)

Descriptors :   *Maximum likelihood estimation, *Operators(Mathematics), Parameters, Asymptotic normality, Consistency, Coefficients, Infinite series, Statistical inference, Linear systems, Stochastic processes

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE