Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations

DOI10.1080/03610926.2019.1568490MaRDI QIDQ5077414zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 18 May 2022

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

Full work available at URL https://doi.org/10.1080/03610926.2019.1568490

zbMATH Keywords

asymptotic normalityinvariant densitymoment estimationskew Ornstein-Uhlenbeck processstrong consistency

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Diffusion processes and their sample paths.
• Diffusion Processes with Generalized Drift Coefficients
• First hitting times for doubly skewed Ornstein-Uhlenbeck processes
• scientific article; zbMATH DE number 1619461 (Why is no real title available?)
• Markov chains and stochastic stability
• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• On skew Brownian motion
• Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations
• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• Skew Ornstein-Uhlenbeck processes and their financial applications
• Some properties of doubly skewed CIR processes
• Stochastic Differential Equations with Generalized Drift Vector
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)

Cited in

(4)

• The discrete Hurst range for skew independent two-valued inflows
• Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
• Maximum likelihood estimation for the skew Ornstein-Uhlenbeck processes
• Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations

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