Inference in generalized exponential O-U processes

DOI10.1007/S11203-023-09291-1OpenAlexW4385782652MaRDI QIDQ6190225

Yunhong Lyu, Sévérien Nkurunziza

Publication date: 6 February 2024

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-023-09291-1

zbMATH Keywords

parameter estimationhypothesis testingrelative efficiencydrift parameterGEOU processrandom dimensions

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

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• The risk of pretest and shrinkage estimators
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
• Theory of Preliminary Test and Stein‐Type Estimation With Applications
• Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

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