On minimum \(L_ 1\)-norm estimate of the parameter of the Ornstein- Uhlenbeck process

DOI10.1016/0167-7152(94)90026-4zbMath0802.62081OpenAlexW2040167819MaRDI QIDQ1332879

P. Pilibossian, Yury A. Kutoyants

Publication date: 12 December 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90026-4

zbMATH Keywords

consistencyasymptotic normalityminimum distance estimationlinear processdiffusion processOrnstein-Uhlenbeck processL1-norm estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05)

Related Items (9)

The law of iterated logarithm for the estimations of diffusion-type processes ⋮ Asymptotics of minimum distance estimator of the parameter of stochastic process driven by a fractional Brownian motion ⋮ Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process ⋮ Minimum distance estimation for fractional Ornstein-Uhlenbeck type process ⋮ Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion ⋮ Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises ⋮ On Least Absolute Value Estimators for Poisson Processes ⋮ Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process ⋮ Minimum distance parameter estimation for Ornstein-Uhlenbeck processes driven by Lévy process

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