Statistical inference for generalized Ornstein-Uhlenbeck processes

DOI10.1214/15-EJS1063zbMATH Open1337.62230arXiv1503.03381MaRDI QIDQ887250FDOQ887250

Authors: N. E. Zubov 

Publication date: 28 October 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: In this paper, we consider the problem of statistical inference for generalized Ornstein-Uhlenbeck processes of the type [ X_{t} = e^{-xi_{t}} left( X_{0} + int_{0}^{t} e^{xi_{u-}} d u ight), ] where (xi_s) is a L{'e}vy process. Our primal goal is to estimate the characteristics of the L'evy process (xi) from the low-frequency observations of the process (X). We present a novel approach towards estimating the L{'e}vy triplet of (xi,) which is based on the Mellin transform technique. It is shown that the resulting estimates attain optimal minimax convergence rates. The suggested algorithms are illustrated by numerical simulations.

Full work available at URL: https://arxiv.org/abs/1503.03381

Recommendations

• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
• Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations

zbMATH Keywords

Mellin transformexponential functionalgeneralized Ornstein-Uhlenbeck processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60)

Cites Work

• Financial Modelling with Jump Processes
• Introduction to nonparametric estimation
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Title not available (Why is that?)
• Exponential functionals of Brownian motion and disordered systems
• Change of time and change of measure
• Nonparametric estimation for Lévy processes from low-frequency observations
• On the distribution of exponential functionals for Lévy processes with jumps of rational transform
• Statistical inference for time-changed Lévy processes via composite characteristic function estimation
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Nonparametric statistics for stochastic processes
• Tail asymptotics for exponential functionals of Lévy processes
• Exponential functionals of Lévy processes
• AIMD algorithms and exponential functionals
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• Generalized Ornstein-Uhlenbeck processes and extensions.
• Calibration of self-decomposable Lévy models
• Spectral calibration of exponential Lévy models
• Adaptive nonparametric estimation for Lévy processes observed at low frequency
• Testing the characteristics of a Lévy process
• Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
• On the minimal travel time needed to collect \(n\) items on a circle.
• The travel time in carousel systems under the nearest item heuristic
• Estimation and Calibration of Lévy Models via Fourier Methods
• Title not available (Why is that?)

Cited In (10)

• Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
• Statistical inference for Vasicek-type model driven by Hermite processes
• Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
• Ergodic properties of generalized Ornstein-Uhlenbeck processes
• Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference
• Semiparametric estimation in the normal variance-mean mixture model
• Statistical inference for scale mixture models via Mellin transform approach
• The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference

This page was built for publication: Statistical inference for generalized Ornstein-Uhlenbeck processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q887250)