Minimum distance parameter estimation for Ornstein-Uhlenbeck processes driven by Lévy process

DOI10.1016/J.SPL.2009.09.020zbMath1178.62090OpenAlexW2016044786WikidataQ59245372 ScholiaQ59245372MaRDI QIDQ1049194

Aliou Diop, Armel Fabrice Yodé

Publication date: 8 January 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.09.020

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (5)

Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes ⋮ Minimum distance estimation for fractional Ornstein-Uhlenbeck type process ⋮ Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process ⋮ Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises ⋮ Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process

Cites Work

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• On minimum \(L_ 1\)-norm estimate of the parameter of the Ornstein- Uhlenbeck process
• A General Approach to the Optimality of Minimum Distance Estimators
• Asymptotique de l'estimateur de distance minimale du paramètre du processus d'Ornstein-Uhlenbeck

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