Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
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Publication:1952068
DOI10.1214/10-EJS565zbMath1329.62364MaRDI QIDQ1952068
Publication date: 27 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1276694114
60G51: Processes with independent increments; Lévy processes
62F12: Asymptotic properties of parametric estimators
62M05: Markov processes: estimation; hidden Markov models
60J60: Diffusion processes
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