Testing for mean reversion in processes of Ornstein-Uhlenbeck type

DOI10.1023/B:SISP.0000026032.80363.59MaRDI QIDQ701963zbMATH OpenOpenAlexFDO

Authors D. Kharzeev

Publication date 17 January 2005

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

Full work available at URL https://doi.org/10.1023/b:sisp.0000026032.80363.59

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]nuisance parameterunit rootvariance-gamma processAutoregressionDickey-Fullerpseudo-likelihood ratio test

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Markov processes: hypothesis testing (62M02) Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Quickest detection problems for Ornstein-Uhlenbeck processes
• Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields
• On large deviations in testing Ornstein-Uhlenbeck-type models
• Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
• How to test that a given process is an Ornstein-Uhlenbeck process
• Lévy process based Ornstein-Uhlenbeck temperature model with time varying speed of mean reversion
• Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• Analysis of group of fish response to \textit{startle reaction}
• The misconception of mean-reversion
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