Robust parameter estimation for the Ornstein-Uhlenbeck process
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Cites work
- scientific article; zbMATH DE number 3899995 (Why is no real title available?)
- scientific article; zbMATH DE number 3936201 (Why is no real title available?)
- scientific article; zbMATH DE number 3954047 (Why is no real title available?)
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- A motivation for \(1/ \sqrt{n}\)-shrinking neighborhoods
- An equilibrium characterization of the term structure
- Asymptotic behavior of M-estimator and related random field for diffusion process
- Asymptotic expansion of \(M_-\)-estimator over Wiener space
- Dependent central limit theorems and invariance principles
- Fréchet differentiability in statistical inference for time series
- General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
- Infinitesimally robust estimation in general smoothly parametrized models
- Influence functions of the Spearman and Kendall correlation measures
- LAN property for ergodic diffusions with discrete observations
- Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
- Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
- Robust Statistics
- Robust asymptotic statistics
- Robust estimates for GARCH models
- Robust estimates for arch processes
- Robust regression based on infinitesimal neighbourhoods
- The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
Cited in
(5)- Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes
- Application of one‐step method to parameter estimation in ODE models
- Pseudo-maximum likelihood estimators in linear regression models with fractional time series
- Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
- On consistency factors and efficiency of robust S-estimators
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