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arXiv · 1612.05462

A note on confidence intervals for parameter estimates of a spatio-temporal Ornstein-Uhlenbeck process

Michele Nguyen·Almut E. D. Veraart
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Abstract

We compare two ways of constructing confidence intervals for the moments-matching parameter estimates of a Gaussian spatio-temporal Ornstein-Uhlenbeck process. It was found that those obtained via pairwise likelihood approximations had lower coverages and were more prone to the curse of dimensionality as opposed to those from a parametric bootstrap procedure.

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Michele Nguyen, Almut E. D. Veraart. 2017-07-24. A note on confidence intervals for parameter estimates of a spatio-temporal Ornstein-Uhlenbeck process. https://arxiv.org/abs/1612.05462

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