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

DOI10.1214/10-EJS565zbMath1329.62364OpenAlexW1993412750MaRDI QIDQ1952068

Hiroki Masuda

Publication date: 27 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1276694114

zbMATH Keywords

Ornstein-Uhlenbeck processLévy processdiscrete-time samplingself-weighted LAD estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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