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A non-Markovian relative of the Ornstein-Uhlenbeck process and some of its local statistical properties. (English) Zbl 0770.60056

A functional stochastic differential equation defining an exponential memory Ornstein-Uhlenbeck type model is considered. By using an explicit representation of the solution processes, the corresponding model is shown to be locally asymptotically mixed normal (in an extended sense) when suitably normalized.
Reviewer: H.M.Dietz (Berlin)

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
62M99 Inference from stochastic processes
60J60 Diffusion processes