Likelihood theory for the graph Ornstein-Uhlenbeck process (Q2144193)

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Likelihood theory for the graph Ornstein-Uhlenbeck process

scientific article; zbMATH DE number 7535462

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English	Likelihood theory for the graph Ornstein-Uhlenbeck process	scientific article; zbMATH DE number 7535462

Statements

instance of

scholarly article

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title

Likelihood theory for the graph Ornstein-Uhlenbeck process (English)

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Statistical Inference for Stochastic Processes

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publication date

1 June 2022

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full work available at URL

https://arxiv.org/abs/2005.12720

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zbMATH Keywords

Ornstein-Uhlenbeck processes

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multivariate Lévy process

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continuous-time likelihood

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maximum likelihood estimator

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graphical modelling

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central limit theorem

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adaptive Lasso

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describes a project that uses

GNAR

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MaRDI profile type

MaRDI publication profile

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cites work

Matrix Subordinators and Related Upsilon Transformations

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Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)

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Multivariate supOU processes

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Change of time and change of measure

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Ambit stochastics

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Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable

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Stochastic integration on the real line

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Sparse covariance matrix estimation in high-dimensional deconvolution

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Lévy–Driven Continuous–Time ARMA Processes

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Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

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On the estimation of integrated volatility in the presence of jumps and microstructure noise

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Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation

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Tail event driven networks of SIFIs

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On the Existence and Uniqueness of the Real Logarithm of a Matrix

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Random networks with sublinear preferential attachment: the giant component

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Q3503405

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Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration

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Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model

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Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process

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Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails

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A characterization of limiting distributions of regular estimates

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Time Change Representation of Stochastic Integrals

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Ergodic properties of generalized Ornstein-Uhlenbeck processes

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Asymptotic theory for large volatility matrix estimation based on high-frequency financial data

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Exponential families of stochastic processes

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Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes

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Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps

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Q3213952

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On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process

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Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps

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

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Data-driven inference for stationary jump-diffusion processes with application to membrane voltage fluctuations in pyramidal neurons

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Rényi Statistics in Directed Families of Exponential Experiments*

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Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes

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On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes

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Spectral representations of infinitely divisible processes

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The equivalence of ergodicity and weak mixing for infinitely divisible processes

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Ergodicity of Lévy-type processes

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Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type

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Q4937701

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Q3359614

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Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors

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Absolute continuity of operator-self-decomposable distributions on \(R^ n\)

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Network vector autoregression

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Multivariate spatial autoregressive model for large scale social networks

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The Adaptive Lasso and Its Oracle Properties

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Identifiers

Mathematics Subject Classification ID

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10.1007/S11203-021-09257-1

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Sitelinks

Mathematics(1 entry)

mardi Publication:2144193