Limit theorems for p-variations of solutions of SDEs driven by additive stable Lévy noise and model selection for Paleo-climatic data
zbMATH Open1218.60027MaRDI QIDQ3581697FDOQ3581697
Authors: Claudia Hein, P. Imkeller, Ilya Pavlyukevich 
Publication date: 2 September 2010
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model selectionestimationSkorokhod topologytightnessstability indexp-variationKolmogorov-Smirnov distanceGreenland ice core datapaleoclimatic time seriesstable Levy process
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stable stochastic processes (60G52) Glaciology (86A40)
Cited In (8)
- Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
- Fokker-Planck equation driven by asymmetric Lévy motion
- Quantifying Model Uncertainties in Complex Systems
- Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
- Bistable behaviour of a jump-diffusion driven by a periodic stable-like additive process
- On the calibration of Lévy driven time series with coupling distances and an application in paleoclimate
- Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
- Stable CLTs and rates for power variation of \(\alpha\)-stable Lévy processes
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