Parametric Estimation for Subordinators and Induced OU Processes

DOI10.1111/J.1467-9469.2006.00498.XzbMath1164.62372OpenAlexW2077707440MaRDI QIDQ5430623

Geurt Jongbloed, Frank H. van der Meulen

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2006.00498.x

zbMATH Keywords

Ornstein-Uhlenbeck processgamma processLevy process

Mathematics Subject Classification ID

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

Related Items (19)

Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes ⋮ Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models ⋮ Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes ⋮ A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions ⋮ Markov additive processes for degradation with jumps under dynamic environments ⋮ Nonparametric inference for discretely sampled Lévy processes ⋮ Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes ⋮ Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes ⋮ Nonparametric adaptive estimation for pure jump Lévy processes ⋮ Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes ⋮ Adaptive pointwise estimation for pure jump Lévy processes ⋮ Modelling and Prediction of Financial Time Series ⋮ Estimation for Lévy processes from high frequency data within a long time interval ⋮ Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling ⋮ Estimation of Parameters of the Ornstein-Uhlenbeck Type Processes with Continuum of Moment Conditions ⋮ Nonparametric estimation for pure jump Lévy processes based on high frequency data ⋮ A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations ⋮ Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes

Cites Work

• Absolutely regular empirical processes and universal entropy
• Weak convergence and empirical processes. With applications to statistics
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• On Some Fourier Methods for Inference
• Asymptotic Statistics
• Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
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