Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination (Q2144199)
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scientific article; zbMATH DE number 7535467
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| English | Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination |
scientific article; zbMATH DE number 7535467 |
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Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination (English)
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1 June 2022
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Lévy process
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Ornstein-Uhlenbeck process
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self-decomposability
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likelihood inference
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multivariate subordination
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weak subordination
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variance gamma process
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0.8056312799453735
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0.7703530192375183
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0.7664600610733032
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0.7645437121391296
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0.7522408366203308
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