Testing for mean reversion in processes of Ornstein-Uhlenbeck type

DOI10.1023/B:SISP.0000026032.80363.59zbMath1056.62090OpenAlexW1986529964MaRDI QIDQ701963

D. Kharzeev

Publication date: 17 January 2005

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:sisp.0000026032.80363.59

zbMATH Keywords

unit rootAutoregressionnuisance parameterLévy processvariance-gamma processDickey-Fullerpseudo-likelihood ratio test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

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