Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration (Q528158)
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scientific article; zbMATH DE number 6714818
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| English | Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration |
scientific article; zbMATH DE number 6714818 |
Statements
Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration (English)
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12 May 2017
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asymptotic
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co-integration
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continuous-time process
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multivariate regular variation
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Ornstein-Uhlenbeck process
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point estimation
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stable Lévy process
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\(t\)-ratio statistic
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Wald-statistic
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0.9210223
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0.9127466
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0.9119005
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0.9006785
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