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

DOI10.1080/03610926.2016.1248786zbMATH Open1386.60173OpenAlexW2535593786MaRDI QIDQ4595874FDOQ4595874

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

Recommendations

• Parameter estimation for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions
• Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
• A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations

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)

Cited In (10)

• 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 \(\alpha \)-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
• Quasi-likelihood estimation for OU processes driven by \(\alpha\)-stable motions

This page was built for publication: Parameter estimation for Ornstein-Uhlenbeck processes of the second kind driven by \(\alpha\)-stable Lévy motions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4595874)