Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes

DOI10.1007/S11425-012-4511-YzbMATH Open1261.62076OpenAlexW2244312311MaRDI QIDQ1945501FDOQ1945501

Authors: Shibin Zhang, Xinsheng Zhang 

Publication date: 8 April 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-012-4511-y

Recommendations

• Testing for mean reversion in processes of Ornstein-Uhlenbeck type
• Goodness-of-fit tests for Lévy-driven Ornstein-Uhlenbeck processes
• Model verification for Lévy-driven Ornstein-Uhlenbeck processes
• Change point testing for the drift parameters of a periodic mean reversion process
• Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters

zbMATH Keywords

weak convergenceBrownian bridgetest for parameter changecusum test

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Title not available (Why is that?)
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• Title not available (Why is that?)
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Title not available (Why is that?)
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Probability. Theory and examples.
• Processes of normal inverse Gaussian type
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Variance Gamma Process and Option Pricing
• Exact simulation of tempered stable Ornstein--Uhlenbeck processes
• Exact simulation of IG-OU processes
• Survival models for heterogeneous populations derived from stable distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Cusum Test for Parameter Change in Time Series Models
• On the functional central limit theorem for stationary processes
• Option Pricing With V. G. Martingale Components¹
• Title not available (Why is that?)
• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• Superposition of Ornstein-Uhlenbeck type processes
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
• On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
• Title not available (Why is that?)
• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• Test for parameter change in discretely observed diffusion processes
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
• Empirical likelihood estimation of discretely sampled processes of OU type
• Inference of change-point in single index models
• Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
• Parametric Estimation for Subordinators and Induced OU Processes
• Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
• Some stationary processes in discrete and continuous time
• Consistency of change point estimators for symmetrical stable distribution with parameters shift
• Parametric estimation of discretely sampled Gamma-OU processes
• A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions

Cited In (5)

• Testing for mean reversion in processes of Ornstein-Uhlenbeck type
• Model verification for Lévy-driven Ornstein-Uhlenbeck processes
• A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type
• Change point testing for the drift parameters of a periodic mean reversion process
• Goodness-of-fit tests for Lévy-driven Ornstein-Uhlenbeck processes

This page was built for publication: Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1945501)