How to test that a given process is an Ornstein-Uhlenbeck process

DOI10.1007/s11203-020-09233-1zbMath1475.62228OpenAlexW3119059862WikidataQ127162381 ScholiaQ127162381MaRDI QIDQ2046298

Estate V. Khmaladze

Publication date: 17 August 2021

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-020-09233-1

zbMATH Keywords

Ornstein-Uhlenbeck processgoodness-of-fit test

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Markov processes: hypothesis testing (62M02)

Cites Work

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