Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes

DOI10.1007/s10626-019-00276-yzbMath1425.93273OpenAlexW2916573351MaRDI QIDQ2330042

Jianqiang Hu, Xin Sheng Zhang, Yan-Feng Wu

Publication date: 18 October 2019

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-019-00276-y

zbMATH Keywords

parameter estimationOrnstein-Uhlenbeck processmethod of momentsstochastic hybrid system

Mathematics Subject Classification ID

Related Items (4)

METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS ⋮ Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes ⋮ Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market ⋮ High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process

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