On estimation of unknown parameters of Ornstein-Uhlenbeck processes with jumps. The stationary case.

zbMATH Open1222.62102MaRDI QIDQ3077421FDOQ3077421

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Publication date: 22 February 2011

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zbMATH Keywords

confidence intervalsstochastic integralsPoisson compound process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Parametric tolerance and confidence regions (62F25) Diffusion processes (60J60)

Cited In (8)

• Estimates of the even moments of certain stochastic integrals with respect to the Poisson measure of the Ornstein-Uhlenbeck jump process
• Estimation of unknown parameters of the Ornstein-Uhlenbeck process with jumps in the nonstationary case
• Parameter estimates of a price series model as solution to linear SDE with a Poisson component
• Estimation of jumplike processes with incomplete information
• Estimation of the discord time for a process of the Ornstein-Uhlenbeck type
• Estimate of the rate of convergence of the Ornstein-Uhlenbeck process with jumps to ergodic distribution
• Guaranteed estimation of parameters in generalized Paul Samuelson model
• Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes

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