Robust parameter estimation for the Ornstein-Uhlenbeck process

DOI10.1007/s10260-012-0195-2zbMath1332.62107OpenAlexW2014028814MaRDI QIDQ257449

Sonja Rieder

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-012-0195-2

zbMATH Keywords

M-estimatorsOrnstein-Uhlenbeck processasymptotically linear estimatorsinfluence curves

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items

Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes ⋮ Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ Application of one‐step method to parameter estimation in ODE models ⋮ On consistency factors and efficiency of robust \(S\)-estimators ⋮ Pseudo-maximum likelihood estimators in linear regression models with fractional time series

Uses Software

• ROptEst
• RobLox

Cites Work

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