Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes

DOI10.1007/S10260-015-0335-6MaRDI QIDQ333541zbMATH OpenOpenAlexWikidataFDO

Authors David Stibůrek

Publication date 31 October 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-015-0335-6

zbMATH Keywords

Wiener processhypotheses testinginverse methodslinear stochastic differential equationsymmetric stable Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stable stochastic processes (60G52)

Recommendations

• Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
• Sequential testing of hypotheses about drift for Gaussian diffusions
• Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
• Sequential testing problems for Lévy processes
• scientific article; zbMATH DE number 4028681

Cites work

• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 758455 (Why is no real title available?)
• scientific article; zbMATH DE number 843191 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• A stochastic integral in storage theory
• Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings
• Drift estimation of a certain class of diffusion processes from discrete observation
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• Lévy Processes and Stochastic Calculus
• Martingale estimation functions for discretely observed diffusion processes
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
• On effects of discretization on estimators of drift parameters for diffusion processes
• On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
• Parameter estimation for Ornstein-Uhlenbeck processes driven by -stable Lévy motions
• Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process
• Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
• Robust parameter estimation for the Ornstein-Uhlenbeck process
• Sequential variational testing hypotheses on the Wiener process under delayed observations
• Simulation and inference for stochastic differential equations. With R examples.
• Some time change representations of stable integrals, via predictable transformations of local martingales
• Statistical inference about the drift parameter in stochastic processes
• Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift
• Tests with parabolic boundary for the drift of a Wiener process
• The consistency of a nonlinear least squares estimator from diffusion processes

Cited in

(3)

• Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
• Linearity tests under the null hypothesis of a random walk with drift
• Sequential testing of hypotheses about drift for Gaussian diffusions

Describes a project that uses

Uses Software

• sde

This page was built for publication: Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q333541)