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math.ST2008★ 13 cited
Asymptotic Properties of an Estimator of the Drift Coefficients of Multidimensional Ornstein-Uhlenbeck Processes that are not Necessarily Stable
Gopal K. Basak, Philip Lee
In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, , of Ornstein-Uhlenbeck processes that are not necessarily stable. W…
math.ST2005
Stationarity of Switching VAR and Other Related Models
Gopal K. Basak, Zhan-Qian Lu
Switching ARMA models greatly enhance the standard linear models to the extent that different ARMA model is allowed in a different regime, and the regime switching is typically ass…