Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters

DOI10.1016/j.spl.2015.04.014zbMath1339.60114OpenAlexW1983885137MaRDI QIDQ491690

Ibrahim Abdelrazeq

Publication date: 19 August 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.04.014

zbMATH Keywords

parameter estimationLévy processesOrnstein-Uhlenbeck processestest statisticssampled processmodel verificationsample correlation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (4)

Option pricing for stochastic volatility model with infinite activity Lévy jumps ⋮ Option pricing and hedging for optimized Lévy driven stochastic volatility models ⋮ Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process ⋮ Model verification for Lévy-driven CARMA(2,1) processes

Cites Work

• Model verification for Lévy-driven Ornstein-Uhlenbeck processes
• On the exponential rate of convergence of the least squares estimator in the nonlinear regression model with Gaussian errors
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Limit Theory for High Frequency Sampled MCARMA Models
• A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations
• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

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