Goodness‐of‐fit tests for Lévy‐driven Ornstein‐Uhlenbeck processes

DOI10.1002/cjs.11352zbMath1474.62303OpenAlexW2791256159MaRDI QIDQ4960923

Rafał Kulik, Ibrahim Abdelrazeq, B. Gail Ivanoff

Publication date: 24 April 2020

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

Full work available at URL: https://doi.org/10.1002/cjs.11352

zbMATH Keywords

bootstrapOrnstein-Uhlenbeck processLévy processtest statisticssampled processmodel verification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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