Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
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Publication:5448746
DOI10.1239/jap/1197908818OpenAlexW1989437851MaRDI QIDQ5448746
Yu Yang, Richard A. Davis, Peter J. Brockwell
Publication date: 7 March 2008
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1197908818
stochastic differential equationOrnstein-Uhlenbeck processLévy processsampled processcontinuous-time autoregression
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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