Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
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Publication:528158
DOI10.1016/J.JECONOM.2012.08.019zbMATH Open1443.62347OpenAlexW2090239113MaRDI QIDQ528158FDOQ528158
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002035
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asymptoticOrnstein-Uhlenbeck process[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=stable+L%EF%BF%BD%EF%BF%BDvy+process&go=Go stable L��vy process]point estimationmultivariate regular variationcontinuous-time process\(t\)-ratio statisticco-integrationWald-statistic
Processes with independent increments; Lévy processes (60G51) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stable stochastic processes (60G52)
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Cited In (18)
- Cointegrated continuous-time linear state-space and MCARMA models
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Statistical Korovkin Theory for Multivariate Stochastic Processes
- Alternative way to derive the distribution of the multivariate Ornstein-Uhlenbeck process
- Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
- A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies
- Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
- Limit Theory for High Frequency Sampled MCARMA Models
- A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type
- A pairs trading strategy based on linear state space models and the Kalman filter
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- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Likelihood theory for the graph Ornstein-Uhlenbeck process
- Testing of two-dimensional Gaussian processes by sample cross-covariance function
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