Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes

DOI10.1016/S0378-3758(00)00185-3zbMath0965.62067OpenAlexW2041122779MaRDI QIDQ5928938

Marc Hallin, Christophe Koell, Bas J. M. Werker

Publication date: 30 July 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(00)00185-3

zbMATH Keywords

Ornstein-Uhlenbeck processsemiparametric time-series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes ⋮ R-estimation in semiparametric dynamic location-scale models ⋮ Robust parameter estimation for the Ornstein-Uhlenbeck process

Cites Work

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• Some mixing properties of time series models
• Adaptive estimation in time-series models
• Efficiency of empirical estimators for Markov chains
• Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models

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