Parameter estimation for reciprocal gamma Ornstein–Uhlenbeck type processes
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Publication:2922895
DOI10.1090/S0094-9000-2013-00894-1zbMath1300.60045MaRDI QIDQ2922895
Ludmila M. Sakhno, Nikolai N. Leonenko, Nenad Šuvak
Publication date: 15 October 2014
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
parameter estimationinfinite divisibilitymethod of momentsself-decomposabilityOrnstein-Uhlenbeck type processminimum contrast methodreciprocal gamma distributionIbragimov functionalsWhittle functionals
Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes, Vector Stochastic Processes with Pólya‐Type Correlation Structure
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