most citedAsymptotic Properties of an Estimator of the Drift Coefficients of Multidimensional Ornstein-Uhlenbeck Processes that are not Necessarily Stable

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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…