Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
From MaRDI portal
Publication:625306
DOI10.1007/S11203-008-9021-8zbMATH Open1205.62124OpenAlexW2039606054MaRDI QIDQ625306FDOQ625306
Authors: Luis Valdivieso, Wim Schoutens, Francis Tuerlinckx 
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
Recommendations
- Maximum likelihood estimation for symmetric \(\alpha\)-stable Ornstein-Uhlenbeck processes
- On maximum likelihood estimation of parameters of Ornstein-Uhlenbeck processes
- Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
- Maximum likelihood estimation for the skew Ornstein-Uhlenbeck processes
- Empirical likelihood estimation of discretely sampled processes of OU type
Cites Work
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Approximations of small jumps of Lévy processes with a view towards simulation
- Title not available (Why is that?)
- Tempering stable processes
- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- Processes of normal inverse Gaussian type
- Generating Random Variates Using Transformations with Multiple Roots
- Introductory lectures on fluctuations of Lévy processes with applications.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- Unimodality of infinitely divisible distribution functions of class L
- Title not available (Why is that?)
- Title not available (Why is that?)
- The Fractional Fourier Transform and Applications
- Title not available (Why is that?)
- Parameter estimation for a discretely observed stochastic volatility model with jumps in the volatility
Cited In (40)
- Inferring time non-homogeneous Ornstein Uhlenbeck type stochastic process
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models
- Ornstein-Uhlenbeck type processes with heavy distribution tails
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
- Statistical inference for generalized Ornstein-Uhlenbeck processes
- Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
- Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
- Maximum likelihood estimation for the skew Ornstein-Uhlenbeck processes
- Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
- On maximum likelihood estimation of parameters of Ornstein-Uhlenbeck processes
- Estimation of parameters of the Ornstein-Uhlenbeck type processes with continuum of moment conditions
- Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes
- Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes
- Parametric estimation of discretely sampled Gamma-OU processes
- Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise
- Statistical inference for stochastic differential equations
- Maximum likelihood estimation in Skorohod stochastic differential equations
- Ornstein–Uhlenbeck type processes with non-normal distribution
- Fractal time series -- A tutorial review
- Gaussian estimation of one-factor mean reversion processes
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
- Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
- Empirical likelihood estimation of discretely sampled processes of OU type
- Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
- Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
- Two-parameter Lévy processes along decreasing paths
- Title not available (Why is that?)
- Fractional lower order covariance based-estimator for Ornstein-Uhlenbeck process with stable distribution
- Domains of attraction for positive and discrete tempered stable distributions
- Maximum likelihood estimation of discretely sampled Cauchy-OU processes
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices
- Maximum likelihood estimation for symmetric \(\alpha\)-stable Ornstein-Uhlenbeck processes
- Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
- Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach
This page was built for publication: Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q625306)
