On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
Bernard Bercu, Frederic Proia, Nicolas Savy·2012-12-12·via math.ST updates on arXiv.org
We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein-Uhlenbeck processes driven by Ornstein-Uhlenbeck processes.