Testing for mean reversion in processes of Ornstein-Uhlenbeck type (Q701963)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing for mean reversion in processes of Ornstein-Uhlenbeck type |
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Testing for mean reversion in processes of Ornstein-Uhlenbeck type (English)
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17 January 2005
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Autoregression
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Dickey-Fuller
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Lévy process
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nuisance parameter
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pseudo-likelihood ratio test
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unit root
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variance-gamma process
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