Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
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Publication:2448716
DOI10.3150/13-BEJ510zbMath1400.62053arXiv1403.2954MaRDI QIDQ2448716
Publication date: 5 May 2014
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.2954
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Diffusion processes (60J60)
Related Items (22)
LAN property for an ergodic diffusion with jumps ⋮ Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Likelihood theory for the graph Ornstein-Uhlenbeck process ⋮ Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Universal Poisson-process limits for general random walks ⋮ Jump filtering and efficient drift estimation for Lévy-driven SDEs ⋮ Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes ⋮ Parameter estimation for a discrete time model driven by fractional Poisson process ⋮ Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises ⋮ Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation ⋮ On Lasso and Slope drift estimators for Lévy-driven Ornstein-Uhlenbeck processes ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Maximum likelihood estimation for symmetric α-stable Ornstein–Uhlenbeck processes ⋮ Estimating functions for jump-diffusions ⋮ Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails ⋮ Non parametric estimation of the diffusion coefficients of a diffusion with jumps ⋮ Asymptotic Inference for Jump Diffusions with State-Dependent Intensity ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns ⋮ Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient ⋮ High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process ⋮ Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
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