Testing for mean reversion in processes of Ornstein-Uhlenbeck type (Q701963)
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scientific article; zbMATH DE number 2128435
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| English | Testing for mean reversion in processes of Ornstein-Uhlenbeck type |
scientific article; zbMATH DE number 2128435 |
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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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0.9052213
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0.8698594
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0.86951387
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0.8682788
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0.86016273
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0.85940087
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0.85793024
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0.85765916
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