Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
DOI10.1186/1029-242X-2014-301zbMath1373.62354WikidataQ59323312 ScholiaQ59323312MaRDI QIDQ2405678
Xiong Pan, Li-feng Xu, Hong Chang Hu
Publication date: 26 September 2017
Published in: Journal of Inequalities and Applications (Search for Journal in Brave)
likelihood ratio testOrnstein-Uhlenbeck processmaximum likelihood estimatorlinear regression modelasymptotic property
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Diffusion processes (60J60) Asymptotic properties of parametric tests (62F05)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Robust parameter estimation for the Ornstein-Uhlenbeck process
- A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
- Testing for unit root processes in random coefficient autoregressive models
- Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
- A new stochastic mixed ridge estimator in linear regression model
- Estimation and pricing under long-memory stochastic volatility
- Bias in the estimation of the mean reversion parameter in continuous time models
- Mildly explosive autoregression under weak and strong dependence
- Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
- Inference in regression models with many regressors
- Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
- Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process
- On asymptotics of t-type regression estimation in multiple linear model
- Functional coefficient autoregressive models for vector time series
- \(M\)-estimation of linear models with dependent errors
- Asymptotic inference for unit roots in spatial triangular autoregression
- Time series: theory and methods
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Quadratic negligibility and the asymptotic normality of operator normed sums
- Consistent autoregressive spectral estimates
- A paradox in least-squares estimation of linear regression models
- Relativistic Ornstein-Uhlenbeck process
- Adjusted estimates and Wald statistics for the AR(1) model with constant
- Moderate deviations for M-estimators in linear models with \(\phi\)-mixing errors
- Nonasymptotic bounds for autoregressive time series modeling.
- Nonlinear time series. Nonparametric and parametric methods
- Strong convergence of estimators in nonlinear autoregressive models
- Sequential estimation for time series regression models
- Bootstrap approximation to the distribution of M-estimates in a linear model
- Consistency of LS estimates of multiple regression under a lower order moment condition
- Asymptotic normality of Huber-Dutter estimators in a linear model with AR(1) processes
- Successful couplings for a class of stochastic differential equations driven by Lévy processes
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions
- Drift estimation for a periodic mean reversion process
- Simulation and inference for stochastic differential equations. With R examples.
- Least squares estimation of linear regression models for convex compact random sets
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
- Asymptotics of regressions with stationary and nonstationary residuals.
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- Ornstein–Uhlenbeck–Cauchy process
- Estimation of the input parameters in the Feller neuronal model
- Linear Statistical Inference and its Applications
- A Note on Regression when There is Extraneous Information about One of the Coefficients
- Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
This page was built for publication: Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process