Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching

DOI10.1007/s10479-015-1967-5zbMath1382.60072OpenAlexW2178541926MaRDI QIDQ1699079

Stéphane Goutte, Julien Chevallier

Publication date: 16 February 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1967-5

zbMATH Keywords

stochastic processesLévy processOR in energynormal inverse Gaussian\(\mathrm{CO}_2\)fuel-switching

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric hypothesis testing (62G10) Nonparametric estimation (62G05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items

Variance swaps under the threshold Ornstein–Uhlenbeck model, Regime-switching temperature dynamics model for weather derivatives

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