Model verification for Lévy-driven Ornstein-Uhlenbeck processes

DOI10.1214/14-EJS919zbMath1309.62146MaRDI QIDQ405320

B. Gail Ivanoff, Rafał Kulik, Ibrahim Abdelrazeq

Publication date: 5 September 2014

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1406811675

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters ⋮ Model verification for Lévy-driven CARMA(2,1) processes ⋮ How to test that a given process is an Ornstein-Uhlenbeck process

Uses Software

• dvfBm

Cites Work

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