On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes

DOI10.1007/s11203-015-9118-9zbMath1333.62075OpenAlexW2048773257MaRDI QIDQ265662

Michael Grabchak

Publication date: 4 April 2016

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

Full work available at URL: https://doi.org/10.1007/s11203-015-9118-9

zbMATH Keywords

MLEstable distributionsconsistent estimatorOrnstein-Uhlenbeck processesselfdecomposable distributionstempered stable distributions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stable stochastic processes (60G52)

Related Items (1)

A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations

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