Model verification for Lévy-driven Ornstein-Uhlenbeck processes
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Publication:405320
DOI10.1214/14-EJS919zbMath1309.62146MaRDI QIDQ405320
B. Gail Ivanoff, Rafał Kulik, Ibrahim Abdelrazeq
Publication date: 5 September 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1406811675
60G51: Processes with independent increments; Lévy processes
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Model verification for Lévy-driven CARMA(2,1) processes, Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters, How to test that a given process is an Ornstein-Uhlenbeck process
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Cites Work
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