What is it about?
We study the efficiency and asymptotic normality of a stochastic model in dimension 2n where there is some perturbation or uncertainty only on n-components of the state of the system. The MLE (which we explicitly compute) is efficient.
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Why is it important?
We prove that the MLE for this type of systems is effcient.
Perspectives
It was quite hard to prove efficiency of the MLE. The next step should be to add some measurement noise to the model and compute again the MLE and study normality, efficiency and so on.
Dr Paula P Milheiro-Oliveira
University of porto
Read the Original
This page is a summary of: On maximum likelihood estimation of the drift matrix of a degenerated O–U process, Statistical Inference for Stochastic Processes, May 2016, Springer Science + Business Media,
DOI: 10.1007/s11203-016-9137-1.
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