Maximum likelihood estimation for continuous-time autoregressive models by relaxation on residual variances ratio parameters |
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Authors: | Alain Le Breton Dinh Tuan Pham |
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Affiliation: | (1) Laboratory LMC/IMAG, C.N.R.S., University of Grenoble, B.P. 53X, 38041 Grenoble cedex, France |
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Abstract: | In this paper we derive an explicit expression for the log likelihood function of a continuous-time autoregressive model. Then, using earlier results relating the autoregressive coefficients to the set of positive parameters called residual variances ratios, we develop an iterative algorithm for computing the maximum likelihood estimator of the model, similar to one in the discrete-time case. A simple noniterative estimation method, which can be used to produce an initial estimate for the algorithm, is also proposed. |
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Keywords: | Maximum likelihood estimation Continuous-time autoregressive model Ornstein-Uhlenbeck process Levinson-Durbin algorithm |
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