Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type

DOI10.1007/s11203-008-9021-8zbMath1205.62124MaRDI QIDQ625306

Wim Schoutens, Francis Tuerlinckx, Luis Valdivieso

Publication date: 15 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-008-9021-8

zbMATH Keywords

Fourier transform; Ornstein-Uhlenbeck processes; likelihood inference

Mathematics Subject Classification ID

62F10: Point estimation

62M05: Markov processes: estimation; hidden Markov models

Related Items

Least squares estimators for discretely observed stochastic processes driven by small Lévy noises, Two-parameter Lévy processes along decreasing paths, Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes, Fractal time series -- A tutorial review, Empirical likelihood estimation of discretely sampled processes of OU type, Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes

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