Ergodic estimators of double exponential Ornstein-Uhlenbeck processes

DOI10.1016/j.cam.2023.115329zbMath1515.60082arXiv2111.09573OpenAlexW4377015802MaRDI QIDQ6133114

Neha Sharma, Yaozhong Hu

Publication date: 21 July 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.09573

zbMATH Keywords

central limit theoremstrong consistencyexact simulationdiscrete time observationergodic estimatorsdouble exponential Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Diffusion processes (60J60) Portfolio theory (91G10)

Cites Work

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