Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
From MaRDI portal
Publication:2254753
DOI10.1007/s00362-014-0580-zzbMath1305.62114MaRDI QIDQ2254753
Publication date: 6 February 2015
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-014-0580-z
62F12: Asymptotic properties of parametric estimators
60F15: Strong limit theorems
62N02: Estimation in survival analysis and censored data
62M02: Markov processes: hypothesis testing
Related Items
Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift, Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises, Parameter estimation for certain nonstationary processes driven by α-stable motions, Maximum likelihood estimation for the reflected stochastic linear system with a large signal, Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift, Parameter estimation for generalized Ait-Sahalia-type interest rate model, Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes, Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion, Least squares estimator for \(\alpha\)-sub-fractional bridges, Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise, Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process, Efficient estimation for the volatility of stochastic interest rate models, Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter, The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean, Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean, Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
Cites Work
- Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
- Moderate deviations for parameter estimators in fractional Ornstein-Uhlenbeck process
- Notes on drift estimation for certain non-recurrent diffusion processes from sampled data
- Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
- Large and moderate deviations in testing Rayleigh diffusion model
- Examples of moderate deviation principle for diffusion processes
- Maximum likelihood estimation for continuous-time stochastic processes
- Some comments concerning a curious singularity
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- Sharp Large Deviations for the Ornstein--Uhlenbeck Process
- Parameter estimation for some non-recurrent solutions of SDE