Fractional lower order covariance based-estimator for Ornstein-Uhlenbeck process with stable distribution

DOI10.14708/MA.V47I2.6506MaRDI QIDQ5135683zbMATH OpenOpenAlexFDO

Authors Piotr Kruczek, Wojciech Żuławiński, Patrycja Pagacz, Agnieszka Wyłomańska

Publication date 23 November 2020

Published in Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14708/ma.v47i2.6506

zbMATH Keywords

estimationFLOCOrnstein-Uhlenbeck processstable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

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Cited in

(7)

• Ornstein-Uhlenbeck type processes with heavy distribution tails
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• Measures of cross-dependence for bidimensional periodic AR(1) model with -stable distribution
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
• Ornstein-Uhlenbeck process driven by -stable process and its gamma subordination
• Autoregressive model with double Pareto distributed noise
• Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model

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