On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes

DOI10.1016/j.spl.2013.11.002zbMath1285.62098arXiv1212.2800OpenAlexW2007347740MaRDI QIDQ2446700

Bernard Bercu, Nicolas Savy, Frédéric Proïa

Publication date: 17 April 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.2800

zbMATH Keywords

asymptotic normalitymaximum likelihood estimationalmost sure convergencecontinuous-time Durbin-Watson statistics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (7)

Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises ⋮ Parameter estimation for certain nonstationary processes driven by α-stable motions ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Moderate deviations for the mildly stationary autoregressive model with dependent errors ⋮ Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Further results on the \(h\)-test of Durbin for stable autoregressive processes
• Quasi Ornstein-Uhlenbeck processes
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Statistical inference for ergodic diffusion processes.
• Stochastic processes and orthogonal polynomials
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Maximum likelihood estimation for continuous-time stochastic processes
• Some comments concerning a curious singularity
• References
• A sharp analysis on the asymptotic behavior of the Durbin–Watson statistic for the first-order autoregressive process
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

This page was built for publication: On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes