Testing for mean reversion in processes of Ornstein-Uhlenbeck type

DOI10.1023/B:SISP.0000026032.80363.59zbMath1056.62090MaRDI QIDQ701963

D. Kharzeev

Publication date: 17 January 2005

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

zbMATH Keywords

unit root; Autoregression; nuisance parameter; Lévy process; variance-gamma process; Dickey-Fuller; pseudo-likelihood ratio test

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

60J60: Diffusion processes

62M02: Markov processes: hypothesis testing