Model verification for Lévy-driven Ornstein-Uhlenbeck processes

DOI10.1214/14-EJS919MaRDI QIDQ405320zbMATH OpenFDO

Authors Ibrahim Abdelrazeq, B. Gail Ivanoff, Rafał Kulik

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

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Goodness-of-fit tests for Lévy-driven Ornstein-Uhlenbeck processes
• Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters
• Model verification for Lévy-driven CARMA(2,1) processes
• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
• Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes

Cites work

• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 2199141 (Why is no real title available?)
• A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process
• A least squares estimator for Lévy-driven moving averages based on discrete time observations
• Discretization of processes.
• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
• Estimation for non-negative Lévy-driven CARMA processes
• Estimation of parameters of a continuous time Gaussian stationary process with rational spectral density
• Lévy-driven CARMA processes
• Multivariate CARMA processes
• Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
• The Elementary Gaussian Processes
• Time series: theory and methods.

Cited in

(8)

• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
• Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
• How to test that a given process is an Ornstein-Uhlenbeck process
• Ornstein-Uhlenbeck related models driven by Lévy processes
• Model verification for Lévy-driven CARMA(2,1) processes
• Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
• Goodness-of-fit tests for Lévy-driven Ornstein-Uhlenbeck processes
• Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters

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