Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: stationarity versus nonstationarity
DOI10.1063/1.4967390zbMATH Open1378.62126OpenAlexW2549831682WikidataQ50541009 ScholiaQ50541009MaRDI QIDQ4601375FDOQ4601375
Authors: Zbigniew Czechowski, Luciano Telesca
Publication date: 15 January 2018
Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1063/1.4967390
Recommendations
- Fractional {O}rnstein-{U}hlenbeck processes
- Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
- Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
- Ornstein-Uhlenbeck process with non-Gaussian structure
- New statistical investigations of the Ornstein-Uhlenbeck process.
Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Diffusion processes (60J60)
Cites Work
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- An equilibrium characterization of the term structure
- Kernel-based regression of drift and diffusion coefficients of stochastic processes
- Multifractal detrended fluctuation analysis of nonstationary time series
- Self-affine time series: Measures of weak and strong persistence.
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Detecting long-range correlations with detrended fluctuation analysis
- Title not available (Why is that?)
- Stochastic processes in physics and chemistry.
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Mathematical modeling of collective behavior in socio-economic and life sciences
- Title not available (Why is that?)
- Title not available (Why is that?)
- The Fokker-Planck equation. Methods of solutions and applications.
- Reconstruction of dynamical equations for traffic flow
- A hyperbolic diffusion model for stock prices
- Ornstein–Uhlenbeck Processes and Extensions
- Handbook of stochastic methods for physics, chemistry and the natural sciences.
- Title not available (Why is that?)
- Reconstruction of the modified discrete Langevin equation from persistent time series
This page was built for publication: Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: stationarity versus nonstationarity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4601375)