Parameter estimation for Ornstein-Uhlenbeck processes of the second kind driven by -stable Lévy motions

DOI10.1080/03610926.2016.1248786MaRDI QIDQ4595874zbMATH OpenOpenAlexFDO

Authors Qian Yu, Ming Xiang Cao, Guangjun Shen

Publication date 6 December 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2016.1248786

zbMATH Keywords

consistencyasymptotic distributionOrnstein-Uhlenbeck processes\(\alpha\)-stable Lévy motionsweighted trajectory fitting estimator

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Numerical solutions to stochastic differential and integral equations (65C30) Least squares and related methods for stochastic control systems (93E24)

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Cited in

(10)

• Quasi-likelihood estimation for OU processes driven by \(\alpha\)-stable motions
• Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
• A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric -stable motions
• The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Parameter estimation for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions
• Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process
• Parameter estimation in models generated by SDEs with symmetric alpha-stable noise
• Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises

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