Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination

DOI10.1007/s11203-021-09254-4zbMath1493.62503arXiv2011.14542OpenAlexW3210312877MaRDI QIDQ2144199

Kevin W. Lu

Publication date: 1 June 2022

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.14542

zbMATH Keywords

Ornstein-Uhlenbeck processLévy processlikelihood inferenceself-decomposabilityvariance gamma processmultivariate subordinationweak subordination

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point estimation (62F10) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05) Characteristic functions; other transforms (60E10) Stochastic integrals (60H05)

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