Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises

DOI10.1016/J.SPL.2009.06.018zbMATH Open1171.62046OpenAlexW2020314715MaRDI QIDQ731952FDOQ731952

Authors: Hongwei Long 

Publication date: 9 October 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.06.018

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Stable stochastic processes (60G52)

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Cited In (41)

• Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes
• Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
• Trajectory fitting estimation for a class of SDEs with small Lévy noises
• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises
• Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises
• Least squares estimator for a class of subdiffusion processes
• Parameter estimation for stochastic Lotka-Volterra model driven by small Lévy noises from discrete observations
• Least squares estimators for stochastic differential equations driven by small Lévy noises
• Parameter estimation for Chan-Karoli-Longstaff-Saunders model driven by small Lévy noises from discrete observations
• Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises
• Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes
• Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise
• Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
• On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
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• Threshold estimation for stochastic processes with small noise
• Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises
• A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises
• Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise
• Least squares estimators for reflected Ornstein–Uhlenbeck processes
• Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises
• Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails
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• Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
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• Robust M estimation of parameters in a linear system
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• Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
• Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
• Least squares estimators for stochastic differential equations with Markovian switching
• Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
• Asymptotic properties for the parameter estimation in stochastic (functional) differential equations with Hölder drift

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