Maximum likelihood estimation of discretely sampled Cauchy-OU processes

MaRDI QIDQ5143774zbMATH OpenFDO

Authors Zhifen Chen, Xiaopeng Chen

Publication date 14 January 2021

zbMATH Keywords

Fourier transformmaximum likelihood estimationtransfer functionbackground driven Lévy processCauchy-OU processes

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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Cited in

(3)

• Parametric estimation of discretely sampled Gamma-OU processes
• Empirical likelihood estimation of discretely sampled processes of OU type
• Maximum likelihood estimation for symmetric -stable Ornstein-Uhlenbeck processes

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