Derives likelihood via linear filtering for fully coupled partially observed 2D OU process and proves LAN plus asymptotic efficiency of MLE for coupling parameter as T to infinity under stability assumptions.
Alexandre Brouste and Marina Kleptsyna
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Parameter estimation in a fully coupled partially observed Ornstein-Uhlenbeck process
Derives likelihood via linear filtering for fully coupled partially observed 2D OU process and proves LAN plus asymptotic efficiency of MLE for coupling parameter as T to infinity under stability assumptions.