Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
From MaRDI portal
Publication:2199706
Recommendations
- Cramer-type moderate deviations for a stationary Ornstein-Uhlenbeck process under discrete observations
- Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
- Deviation inequalities and Cramer-type moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck process of the second kind
- Cramér-type moderate deviations for the likelihood ratio process of Ornstein-Uhlenbeck process with shift
- Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
Cites work
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
- An equilibrium characterization of the term structure
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
- Berry-Esseen bounds for parameter estimation of general Gaussian processes
- Berry-Esseen bounds for the least squares estimator for discretely observed fractional Ornstein-Uhlenbeck processes
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
- Cumulants on Wiener chaos: moderate deviations and the fourth moment theorem
- Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
- Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
- Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the second kind
- Estimation and pricing under long-memory stochastic volatility
- Estimation of an Ergodic Diffusion from Discrete Observations
- Examples of moderate deviation principle for diffusion processes
- Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
- Introduction to Malliavin calculus
- LAN property for ergodic diffusions with discrete observations
- Large deviations for the Ornstein-Uhlenbeck process with shift
- Large deviations for the Ornstein-Uhlenbeck process without tears
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
- Long memory in continuous-time stochastic volatility models
- Moderate deviations and nonparametric inference for monotone functions
- Normal approximations with Malliavin calculus. From Stein's method to universality
- Notes on drift estimation for certain non-recurrent diffusion processes from sampled data
- On a multivariate version of Bernstein's inequality
- Optimal rates for parameter estimation of stationary Gaussian processes
- Parameter estimation by deterministic approximation of a solution of a stochastic differential equation
- Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise
- Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
- Parameter estimation for some non-recurrent solutions of SDE
- Parameter estimation of Gaussian stationary processes using the generalized method of moments
- Parametric inference for discretely observed non-ergodic diffusions
- Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
- Sharp Large Deviations for the Ornstein--Uhlenbeck Process
- Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
- Statistical aspects of the fractional stochastic calculus
- Statistical inference for Vasicek-type model driven by Hermite processes
- Statistical inference for ergodic diffusion processes.
- Tail behaviour of multiple random integrals and \(U\)-statistics
- The consistency of a nonlinear least squares estimator from diffusion processes
Cited in
(18)- Ergodic estimators of double exponential Ornstein-Uhlenbeck processes
- Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
- Cramer-type moderate deviations for a stationary Ornstein-Uhlenbeck process under discrete observations
- Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
- Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications
- Cramér-type moderate deviations for the likelihood ratio process of Ornstein-Uhlenbeck process with shift
- Hypothesis testing in a fractional Ornstein-Uhlenbeck model
- Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
- Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
- Deviation inequalities and Cramer-type moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck process of the second kind
- Nonparametric estimation for periodic stochastic differential equations driven by \(G\)-Brownian motion
- Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
- Deviation properties for linear self-attracting diffusion process and applications
- Maximum likelihood estimation for the reflected stochastic linear system with a large signal
- Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
- Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
- Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters
- Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes
This page was built for publication: Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2199706)
