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

From MaRDI portal

Jump to:navigation, search

Latest revision as of 10:57, 30 July 2024

scientific article

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

Statements

scholarly article

0 references

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

0 references

zbMATH Open document ID

0 references

10.1214/10-EJS565

0 references

0 references

Electronic Journal of Statistics

0 references

publication date

27 May 2013

0 references

full work available at URL

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

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

zbMATH DE Number

0 references

zbMATH Keywords

discrete-time sampling

0 references

Lévy process

0 references

Ornstein-Uhlenbeck process

0 references

self-weighted LAD estimation

0 references

MaRDI profile type

MaRDI publication profile

0 references

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

0 references

Processes of normal inverse Gaussian type

0 references

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

0 references

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

0 references

0 references

Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

0 references

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

0 references

Least absolute deviation estimation for regression with ARMA errors

0 references

M-estimation for autoregression with infinite variance

0 references

The Brownian movement and stochastic equations

0 references

0 references

Ornstein–Uhlenbeck–Cauchy process

0 references

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

0 references

Parametric Estimation for Subordinators and Induced OU Processes

0 references

Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes

0 references

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

0 references

0 references

0 references

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

0 references

Local asymptotic mixed normality for semimartingale experiments

0 references

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

0 references

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

0 references

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

0 references

0 references

Tempering stable processes

0 references

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

0 references

0 references

Zeroes of Infinitely Divisible Densities

0 references

0 references

Information criteria in model selection for mixing processes

0 references

0 references

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

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1952068

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1952068&oldid=37186145"