Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
From MaRDI portal
(Redirected from Publication:731952)
Recommendations
- Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
- A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
Cites work
- \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
- A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process
- An asymptotic expansion approach to pricing financial contingent claims
- An asymptotic expansion scheme for optimal investment problems
- Approximate martingale estimating functions for stochastic differential equations with small noises
- Asymptotic expansion for small diffusions applied to option pricing
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Asymptotic theory for non-linear least squares estimator for diffusion processes
- Conditional expansions and their applications.
- Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
- Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
- Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
- Estimation of parameters for diffusion processes with jumps from discrete observations
- scientific article; zbMATH DE number 3862279 (Why is no real title available?)
- scientific article; zbMATH DE number 169644 (Why is no real title available?)
- scientific article; zbMATH DE number 3575446 (Why is no real title available?)
- scientific article; zbMATH DE number 3612338 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1546925 (Why is no real title available?)
- scientific article; zbMATH DE number 758455 (Why is no real title available?)
- scientific article; zbMATH DE number 782641 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- Information criteria for small diffusions via the theory of Malliavin-Watanabe
- Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
- Maximnm contrast estimation for diffusion processes from discrete observations
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
- Parameter estimation for Ornstein-Uhlenbeck processes driven by -stable Lévy motions
- Small-diffusion asymptotics for discretely sampled stochastic differential equations
- Some time change representations of stable integrals, via predictable transformations of local martingales
- Statistical inference for ergodic diffusion processes.
- The asymptotic expansion approach to the valuation of interest rate contingent claims
- The consistency of a nonlinear least squares estimator from diffusion processes
Cited in
(42)- Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Parameter estimation for Chan-Karoli-Longstaff-Saunders model driven by small Lévy noises from discrete observations
- Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails
- Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
- Trajectory fitting estimation for a class of SDEs with small Lévy noises
- Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise
- Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
- Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise
- Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean
- Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises
- Nonparametric estimation of the trend for stochastic differential equations driven by small -stable noises
- Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
- Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
- Least squares estimators for stochastic differential equations with Markovian switching
- On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
- Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Threshold estimation for stochastic processes with small noise
- Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
- Robust M estimation of parameters in a linear system
- Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
- Parameter estimation for stochastic Lotka-Volterra model driven by small Lévy noises from discrete observations
- Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes
- Least squares estimator for a class of subdiffusion processes
- Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- Estimation of intrinsic growth factors in a class of stochastic population model
- Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
- Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises
- Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises
- Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
- Asymptotic properties for the parameter estimation in stochastic (functional) differential equations with Hölder drift
- Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise
- Least squares estimators for reflected Ornstein–Uhlenbeck processes
- Trajectory fitting estimation for integrated Ornstein-Uhlenbeck process driven by Lévy process
- A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
This page was built for publication: Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q731952)
