Statistical inference for Ornstein–Uhlenbeck processes based on low-frequency observations

Dingwen Zhang

doi:10.1016/j.spl.2024.110286

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Statistical inference for Ornstein–Uhlenbeck processes based on low-frequency observations

Dingwen Zhang

Year: 2024 Journal: Statistics & Probability Letters Vol: 216 Pages: 110286-110286 Publisher: Elsevier BV

DOI: 10.1016/j.spl.2024.110286

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Keywords:

Mathematics Ornstein–Uhlenbeck process Statistical inference Inference Statistics Statistical physics Econometrics Applied mathematics Stochastic process Artificial intelligence Computer science

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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

Statistical inference for Ornstein–Uhlenbeck processes based on low-frequency observations

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