Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations

Guangjun Shen; Qian Yu

doi:10.1007/s00362-017-0918-4

ScienceGate Book Chapters

JOURNAL ARTICLE

Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations

Guangjun Shen Qian Yu

Year: 2017 Journal: Statistical Papers Vol: 60 (6)Pages: 2253-2271 Publisher: Springer Science+Business Media

DOI: 10.1007/s00362-017-0918-4

Get Full-Text PDF Get Analytical Report

Keywords:

Estimator Ornstein–Uhlenbeck process Mathematics Consistency (knowledge bases) Strong consistency Applied mathematics Consistent estimator Least-squares function approximation Distribution (mathematics) Asymptotic distribution Estimation theory Statistics Stochastic process Mathematical analysis Minimum-variance unbiased estimator Discrete mathematics

Metrics

Cited By

2.66

FWCI (Field Weighted Citation Impact)

Refs

0.90

Citation Normalized Percentile

Is in top 1%

Is in top 10%

Citation History

Topics

Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Complex Systems and Time Series Analysis

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations

Metrics

Citation History

Topics

Related Documents

Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises

Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean

Least squares estimator of fractional Ornstein–Uhlenbeck processes with periodic mean

Least squares estimator for non-ergodic Ornstein–Uhlenbeck processes driven by Gaussian processes

Least squares estimator for discretely observed Ornstein–Uhlenbeck processes with small Lévy noises