Empirical likelihood estimation of discretely sampled processes of OU type

DOI10.1007/s11425-008-0159-zzbMath1176.62081OpenAlexW2069656622MaRDI QIDQ1041558

Shuguang Sun, Xin Sheng Zhang

Publication date: 2 December 2009

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-008-0159-z

zbMATH Keywords

instrumental variablesconditional characteristic functions

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Markov processes: hypothesis testing (62M02)

Related Items (9)

Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations ⋮ Parameter estimation for reciprocal gamma Ornstein–Uhlenbeck type processes ⋮ A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions ⋮ Empirical likelihood inference for diffusion processes with jumps ⋮ Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes ⋮ Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions ⋮ Maximum likelihood estimation for symmetric α-stable Ornstein–Uhlenbeck processes ⋮ Estimation of Parameters of the Ornstein-Uhlenbeck Type Processes with Continuum of Moment Conditions ⋮ A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations

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