Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration

DOI10.1016/j.jeconom.2012.08.019zbMath1443.62347OpenAlexW2090239113MaRDI QIDQ528158

Vicky Fasen

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002035

zbMATH Keywords

Ornstein-Uhlenbeck processasymptoticpoint estimationstable Lévy processco-integrationmultivariate regular variationcontinuous-time process\(t\)-ratio statisticWald-statistic

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Stable stochastic processes (60G52)

Related Items (14)

A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies ⋮ Likelihood theory for the graph Ornstein-Uhlenbeck process ⋮ Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ A pairs trading strategy based on linear state space models and the Kalman filter ⋮ Limit Theory for High Frequency Sampled MCARMA Models ⋮ Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance ⋮ A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Least squares estimators for discretely observed stochastic processes driven by small Lévy noises ⋮ Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations ⋮ Least squares estimators for stochastic differential equations driven by small Lévy noises ⋮ Unnamed Item ⋮ High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process ⋮ Alternative way to derive the distribution of the multivariate Ornstein-Uhlenbeck process

Uses Software

• JMulTi

Cites Work

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