Maximum likelihood estimation for symmetric α-stable Ornstein–Uhlenbeck processes

DOI10.1142/S0219493721500180zbMath1474.60186OpenAlexW3046412955MaRDI QIDQ5157722

Zhifen Chen, Xiao-Peng Chen

Publication date: 20 October 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493721500180

zbMATH Keywords

Laplace transformmaximum likelihood estimationapproximationasymptotic distributionsLévy process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Stable stochastic processes (60G52)

Cites Work

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