Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes - MaRDI portal

Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes (Q2390465)

From MaRDI portal

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes	scientific article

Statements

scholarly article

0 references

Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes (English)

0 references

Emanuele Taufer

0 references

Nikolai N. Leonenko

0 references

Journal of Statistical Planning and Inference

0 references

publication date

22 July 2009

0 references

zbMATH Keywords

Lévy process

0 references

self-decomposable distributions

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.jspi.2009.02.007

0 references

Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets

0 references

Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

0 references

Processes of normal inverse Gaussian type

0 references

Superposition of Ornstein--Uhlenbeck Type Processes

0 references

Some stationary processes in discrete and continuous time

0 references

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

0 references

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

0 references

Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models

0 references

Spectral properties of superpositions of Ornstein-Uhlenbeck type processes

0 references

Slowly Decaying Correlations, Testing Normality, Nuisance Parameters

0 references

Multiple forecasts with autoregressive time series models: Case studies.

0 references

Testing for normality in arbitrary dimension

0 references

Algebraic properties of beta and gamma distributions, and applications

0 references

Tests for location-scale families based on the empirical characteristic function

0 references

An efficiency result for the empirical characteristic function in stationary time-series models

0 references

On Some Fourier Methods for Inference

0 references

The empirical characteristic function and its applications

0 references

Large deviations in estimation of an Ornstein-Uhlenbeck model

0 references

Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection

0 references

Simulation and inference for stochastic volatility models driven by Levy processes

0 references

0 references

Applications of empirical characteristic functions in some multivariate problems

0 references

On estimating the cumulant generating function of linear processes

0 references

Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process

0 references

Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility

0 references

Processes of Meixner type

0 references

Generalized \(z\)-distributions and related stochastic processes

0 references

On the self-decomposability of Euler's Gamma function

0 references

Student processes

0 references

Survival models for heterogeneous populations derived from stable distributions

0 references

Parametric Estimation for Subordinators and Induced OU Processes

0 references

Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes

0 references

An integral representation for selfdecomposable banach space valued random variables

0 references

An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution

0 references

EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION

0 references

Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method

0 references

Asymmetric Laplace laws and modeling financial data

0 references

Simulation of Estimates Using the Empirical Characteristic Function

0 references

Nonparametric estimation for Lévy processes from low-frequency observations

0 references

Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes

0 references

Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes

0 references

The normal inverse gaussian lévy process: simulation and approximation

0 references

0 references

Lévy processes, polynomials and martingales

0 references

0 references

Fitting the variance-gamma model to financial data

0 references

On asymptotics of estimating functions

0 references

0 references

Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution

0 references

ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES

0 references

Inference in Lévy-type stochastic volatility models

0 references

On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).

0 references

Identifiers

zbMATH Open document ID

0 references

10.1016/j.jspi.2009.02.007

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2390465

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2390465&oldid=35119418"