A pseudo-likelihood estimator of the Ornstein–Uhlenbeck parameters from suprema observations

DOI10.1007/S11203-024-09307-4MaRDI QIDQ6493986

Unnamed Author, Christophette Blanchet-Scalliet, Diana Dorobantu

Publication date: 29 April 2024

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

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

• Spherical Ornstein-Uhlenbeck processes
• Basic properties of strong mixing conditions. A survey and some open questions
• Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph
• Inequalities for the Zeros of the Airy Functions
• Joint law of an Ornstein–Uhlenbeck process and its supremum
• On modelling and pricing weather derivatives
• Dynamical pricing of weather derivatives
• An equilibrium characterization of the term structure
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Pairs trading

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