A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions (Q1934478): Difference between revisions

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English	A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions	scientific article

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instance of

scholarly article

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title

A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions (English)

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Annals of the Institute of Statistical Mathematics

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publication date

28 January 2013

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zbMATH Keywords

stable law

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Ornstein-Uhlenbeck

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parametric estimation

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consistency

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asymptotic distribution

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least squares method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10463-012-0362-0

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cites work

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

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Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

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Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling

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A Method for Simulating Stable Random Variables

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Limit theory for the sample covariance and correlation functions of moving averages

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Probability

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A Limit Theoerm for Random Variables with Infinite Moments

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A Comedy of Errors: The Canonical Form for a Stable Characteristic Function

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Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions

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Parametric Estimation for Subordinators and Induced OU Processes

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Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes

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Probability Inequalities

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On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process

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Parameter estimation for ARMA models with infinite variance innovations

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On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals

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Q4937701

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Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type

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Empirical likelihood estimation of discretely sampled processes of OU type

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Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes

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Identifiers

zbMATH Open document ID

1440.62324

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DOI

10.1007/s10463-012-0362-0

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1934478

@@ Property / author @@
+Xin Sheng Zhang
@@ Property / author: Xin Sheng Zhang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10463-012-0362-0
+Normal rank
@@ Property / OpenAlex ID @@
+W2092680090
@@ Property / OpenAlex ID: W2092680090 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
+Normal rank
@@ Property / cites work @@
+Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
+Normal rank
@@ Property / cites work @@
+A Method for Simulating Stable Random Variables
@@ Property / cites work: A Method for Simulating Stable Random Variables / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theory for the sample covariance and correlation functions of moving averages
+Normal rank
@@ Property / cites work @@
+Probability
@@ Property / cites work: Probability / rank @@
+Normal rank
@@ Property / cites work @@
+A Limit Theoerm for Random Variables with Infinite Moments
+Normal rank
@@ Property / cites work @@
+A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
+Normal rank
@@ Property / cites work @@
+Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
+Normal rank
@@ Property / cites work @@
+Parametric Estimation for Subordinators and Induced OU Processes
+Normal rank
@@ Property / cites work @@
+Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Probability Inequalities
@@ Property / cites work: Probability Inequalities / rank @@
+Normal rank
@@ Property / cites work @@
+On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
+Normal rank
@@ Property / cites work @@
+Parameter estimation for ARMA models with infinite variance innovations
+Normal rank
@@ Property / cites work @@
+On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+Empirical likelihood estimation of discretely sampled processes of OU type
+Normal rank
@@ Property / cites work @@
+Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
+Normal rank