Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
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Publication:5448746
DOI10.1239/jap/1197908818MaRDI QIDQ5448746
Richard A. Davis, Yu Yang, 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 equation; Ornstein-Uhlenbeck process; Lévy process; sampled process; continuous-time autoregression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09: Non-Markovian processes: estimation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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