Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes

DOI10.3150/bj/1130077593zbMath1084.62080OpenAlexW2090375056MaRDI QIDQ817968

Aad W. van der Vaart, Geurt Jongbloed, Frank H. van der Meulen

Publication date: 23 March 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1130077593

zbMATH Keywords

consistencyLévy processself-decomposabilitycumulant \(M\)-estimatorssupport-reduction algorithmuniform convergence of characteristic functions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05)

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