Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters
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Publication:491690
DOI10.1016/j.spl.2015.04.014zbMath1339.60114OpenAlexW1983885137MaRDI QIDQ491690
Publication date: 19 August 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.04.014
parameter estimationLévy processesOrnstein-Uhlenbeck processestest statisticssampled processmodel verificationsample correlation
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)
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Cites Work
- Model verification for Lévy-driven Ornstein-Uhlenbeck processes
- On the exponential rate of convergence of the least squares estimator in the nonlinear regression model with Gaussian errors
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Limit Theory for High Frequency Sampled MCARMA Models
- A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations
- Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes