A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions
From MaRDI portal
Publication:1934478
DOI10.1007/s10463-012-0362-0zbMath1440.62324MaRDI QIDQ1934478
Publication date: 28 January 2013
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-012-0362-0
asymptotic distribution; consistency; least squares method; stable law; Ornstein-Uhlenbeck; parametric estimation
62F12: Asymptotic properties of parametric estimators
62E20: Asymptotic distribution theory in statistics
62M05: Markov processes: estimation; hidden Markov models
60J60: Diffusion processes
60G52: Stable stochastic processes
Related Items
Parameter estimation for certain nonstationary processes driven by α-stable motions, Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes, Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes, Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation, A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations, Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes, Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations, Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails, Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process, Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination, The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift, Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises, Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations, Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
Cites Work
- Unnamed Item
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
- Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- Empirical likelihood estimation of discretely sampled processes of OU type
- On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
- Limit theory for the sample covariance and correlation functions of moving averages
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- Parameter estimation for ARMA models with infinite variance innovations
- Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- A Method for Simulating Stable Random Variables
- A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
- Parametric Estimation for Subordinators and Induced OU Processes
- Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
- A Limit Theoerm for Random Variables with Infinite Moments
- Probability Inequalities
- Probability
