Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration (Q528158)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration |
scientific article; zbMATH DE number 6714818
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration |
scientific article; zbMATH DE number 6714818 |
Statements
Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration (English)
0 references
12 May 2017
0 references
asymptotic
0 references
co-integration
0 references
continuous-time process
0 references
multivariate regular variation
0 references
Ornstein-Uhlenbeck process
0 references
point estimation
0 references
stable Lévy process
0 references
\(t\)-ratio statistic
0 references
Wald-statistic
0 references
0 references
0 references
0 references
0 references
0.9210223
0 references
0.9127466
0 references
0.9119005
0 references
0 references
0.9006785
0 references
