Modified least squares estimators for Ornstein-Uhlenbeck processes from low-frequency observations

DOI10.1016/j.aml.2024.109143MaRDI QIDQ6580300

Yaozhong Hu, Dingwen Zhang, Yuecai Han

Publication date: 29 July 2024

Published in: Applied Mathematics Letters (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processstrong consistencylow-frequency observationsjoint asymptotic normalityergodic estimatormodified least squares estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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