Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process (Q1730944): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q5558293 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Integral Inequalities with Applications to the Imbedding of Sobolev Spaces Defined Over Irregular Domains / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5495335 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Processes of normal inverse Gaussian type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spitzer's condition for random walks and Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4160235 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the continuity of characteristic functionals and sparse stochastic modeling / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the estimation of the diffusion coefficient for multi-dimensional diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: LAN property for ergodic diffusions with discrete observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Do financial returns have finite or infinite variance? A paradox and an explanation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uniform LAN property of locally stable L\'{e}vy process observed at high frequency / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4349243 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating functions for diffusion-type processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discretization of processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4894945 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling high-frequency financial data by pure jump processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On simulation of tempered stable random variates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of an Ergodic Diffusion from Discrete Observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing for pure-jump processes for high-frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Moment estimates for Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5011285 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parametric Estimation of Lévy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Breakdown points and variation exponents of robust \(M\)-estimators in linear models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Breakdown points of Cauchy regression-scale estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4486401 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4301585 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Realized Laplace transforms for pure-jump semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive estimation of an ergodic diffusion process based on sampled data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3717907 / rank
 
Normal rank

Latest revision as of 14:50, 18 July 2024

scientific article
Language Label Description Also known as
English
Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
scientific article

    Statements

    Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process (English)
    0 references
    0 references
    6 March 2019
    0 references
    asymptotic mixed normality
    0 references
    high-frequency sampling
    0 references
    locally stable Lévy process
    0 references
    stable quasi-likelihood function
    0 references
    stochastic differential equations
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references