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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Schlemm, E. and Stelzer, R. 
Titel:
Quasi maximum likelihood estimation for strongly mxing state space models and multivariate Lévy-driven CARMA processes 
Abstract:
We consider quasi maximum likelihood (QML) estimation for general non-Gaussian discrete-time linear state space models and equidistantly observed multivariate Lévy-driven continuous-time autoregressive moving average (MCARMA) processes. In the discrete-time setting, we prove strong consistency and asymptotic normality of the QML estimator under standard moment assumptions and a strong-mixing condition on the output process of the state space model. In the second part of the paper, we inv...    »
 
Zeitschriftentitel:
Electronic Journal of Statistics 
Jahr:
2012 
Band / Volume:
Seitenangaben Beitrag:
2185-2234 
Reviewed:
ja 
Sprache:
en 
Status:
Preprint / submitted 
Semester:
SS 11 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text