Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations (Q2338242): Difference between revisions

The authors consider the generalized Ornstein-Uhlenbeck process that is defined as the unique solution of the Langevin linear stochastic differential equation driving by a fractional Lévy process. The aim of the paper is to construct drift parameter estimator based on the equidistant discrete observations. More precisely, least-square estimator (LSE) of the drift parameter is costructed. The asymptotic distribution of LSE is established and some simulation results are provided.

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zbMATH Keywords

Ornstein-Uhlenbeck processes

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fractional Lévy processes

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least squares estimator

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asymptotic distribution

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reviewed by

Yuliya S. Mishura

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describes a project that uses

YUIMA

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00362-017-0918-4

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cites work

Identification and properties of real harmonizable fractional Lévy motions

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Finite variation of fractional Lévy processes

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Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

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Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package

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A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES

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Parameter estimation for some non-recurrent solutions of SDE

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Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations

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Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift

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Maximnm contrast estimation for diffusion processes from discrete observations

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Estimation for stochastic differential equations with a small diffusion coefficient

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

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Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift

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Least squares estimator for \(\alpha\)-sub-fractional bridges

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Statistical inference for ergodic diffusion processes.

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Real harmonizable multifractional Lévy motions

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A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process

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Existence and joint continuity of local time of multi-parameter fractional Lévy processes

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Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises

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Least squares estimators for discretely observed stochastic processes driven by small Lévy noises

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A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises''

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Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises

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Fractional Brownian Motions, Fractional Noises and Applications

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Fractional Lévy processes with an application to long memory moving average processes

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Q4226355

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Q4301585

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Estimation of parameters for diffusion processes with jumps from discrete observations

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Small-diffusion asymptotics for discretely sampled stochastic differential equations

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Fractional Lévy Processes as a Result of Compact Interval Integral Transformation

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Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation

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

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Identifiers

zbMATH Open document ID

1435.60027

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DOI

10.1007/s00362-017-0918-4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2338242

@@ Property / cites work @@
+Identification and properties of real harmonizable fractional Lévy motions
+Normal rank
@@ Property / cites work @@
+Finite variation of fractional Lévy processes
@@ Property / cites work: Finite variation of fractional Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
+Normal rank
@@ Property / cites work @@
+Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
+Normal rank
@@ Property / cites work @@
+A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES
@@ Property / cites work: A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Parameter estimation for some non-recurrent solutions of SDE
+Normal rank
@@ Property / cites work @@
+Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
+Normal rank
@@ Property / cites work @@
+Maximnm contrast estimation for diffusion processes from discrete observations
+Normal rank
@@ Property / cites work @@
+Estimation for stochastic differential equations with a small diffusion coefficient
+Normal rank
@@ Property / cites work @@
+Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
+Normal rank
@@ Property / cites work @@
+Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
+Normal rank
@@ Property / cites work @@
+Least squares estimator for \(\alpha\)-sub-fractional bridges
+Normal rank
@@ Property / cites work @@
+Statistical inference for ergodic diffusion processes.
+Normal rank
@@ Property / cites work @@
+Real harmonizable multifractional Lévy motions
@@ Property / cites work: Real harmonizable multifractional Lévy motions / rank @@
+Normal rank
@@ Property / cites work @@
+A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process
+Normal rank
@@ Property / cites work @@
+Existence and joint continuity of local time of multi-parameter fractional Lévy processes
+Normal rank
@@ Property / cites work @@
+Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
+Normal rank
@@ Property / cites work @@
+Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
+Normal rank
@@ Property / cites work @@
+A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises''
+Normal rank
@@ Property / cites work @@
+Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Fractional Lévy processes with an application to long memory moving average processes
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of parameters for diffusion processes with jumps from discrete observations
+Normal rank
@@ Property / cites work @@
+Small-diffusion asymptotics for discretely sampled stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Fractional Lévy Processes as a Result of Compact Interval Integral Transformation
+Normal rank
@@ Property / cites work @@
+Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
+Normal rank
@@ Property / cites work @@
+A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions
+Normal rank