Parameter estimation in a fully coupled partially observed Ornstein-Uhlenbeck process

Abstract

We study a two-dimensional Ornstein-Uhlenbeck system where only the first coordinate is observed, whereas the second coordinate remains hidden. Our goal is the estimation of the coupling parameter in the drift of the observed coordinate. The core novelty lies in accounting for the influence of the observed component on the unobserved one, making the system fully coupled. Using linear filtering, we derive the likelihood under partial observation and establish local asymptotic normality of the statistical model. Within the Ibragimov-Hasminskii framework (1981), we prove consistency, asymptotic normality, convergence of moments and asymptotic efficiency of the MLE under stability and identifiability assumptions as the time horizon tends to infinity.