Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes (Q1952068): Difference between revisions

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Language	Label	Description	Also known as
English	Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes	scientific article

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scholarly article

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Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes (English)

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Electronic Journal of Statistics

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publication date

27 May 2013

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full work available at URL

https://projecteuclid.org/euclid.ejs/1276694114

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zbMATH Keywords

discrete-time sampling

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Lévy process

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Ornstein-Uhlenbeck process

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self-weighted LAD estimation

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MaRDI profile type

MaRDI publication profile

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Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes

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Processes of normal inverse Gaussian type

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

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On the functional central limit theorem and the law of the iterated logarithm for Markov processes

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Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

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Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models

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Least absolute deviation estimation for regression with ARMA errors

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M-estimation for autoregression with infinite variance

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The Brownian movement and stochastic equations

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Ornstein–Uhlenbeck–Cauchy process

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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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Limiting distributions for \(L_1\) regression estimators under general conditions

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Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

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Local asymptotic mixed normality for semimartingale experiments

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

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Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps

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The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors

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Tempering stable processes

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Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property

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Zeroes of Infinitely Divisible Densities

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Information criteria in model selection for mixing processes

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Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations

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Identifiers

zbMATH Open document ID

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10.1214/10-EJS565

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Mathematics Subject Classification ID

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zbMATH DE Number

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Mathematics(1 entry)

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