Statistical inference for Ornstein-Uhlenbeck processes based on low-frequency observations
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Cites work
- A Proof of the Consistency of Maximum Likelihood Estimators of Nonlinear Regression Models with Autocorrelated Errors
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Asymptotic Statistics
- Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Handbook of Markov Chain Monte Carlo
- Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
- Markov chains and stochastic stability
- Markov chains for exploring posterior distributions. (With discussion)
- Modified least squares estimators for Ornstein-Uhlenbeck processes from low-frequency observations
- Modified trajectory fitting estimators for multi-regime threshold Ornstein-Uhlenbeck processes
- On identification of the threshold diffusion processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
- Parameter estimation for Ornstein-Uhlenbeck processes driven by -stable Lévy motions
- Regression Analysis when the Dependent Variable Is Truncated Normal
- Statistical inference for ergodic diffusion processes.
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