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 |