Parameter estimation with exact . . .

It is shown that the suitably normalized maximum likelihood estimators of some parameters of multidimensional Ornstein-Uhlenbeck processes with coefficient matrix of a special structure have exactly a normal distribution. This result provides a generalization to an arbitrary dimension of the well-known behaviour of the estimator of the period of a complex AR(1) process (see [2], [3], [4], [5], [8], [9])