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Sandie Souchet Xavier Guyon 《Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques》2002,38(6):1093
Let (X(lδ), l=0,n) be a discrete observation at mesh δ>0 of X, a CAR(p). Classical Yule–Walker estimation are biased and must be corrected. Resultant estimators converge if T=nδ→+∞, are asymptotically normal with rate
, and efficient. The diffusion coefficient is also estimated, with rate
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