Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises

DOI10.1016/j.spl.2009.06.018zbMath1171.62046OpenAlexW2020314715MaRDI QIDQ731952

Hongwei Long

Publication date: 9 October 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.06.018

Mathematics Subject Classification ID

Related Items (32)

On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations ⋮ Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling ⋮ Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations ⋮ Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes ⋮ Robust M estimation of parameters in a linear system ⋮ Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises ⋮ Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises ⋮ Parameter estimation for stochastic Lotka-Volterra model driven by small Lévy noises from discrete observations ⋮ Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Least squares estimator for a class of subdiffusion processes ⋮ Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes ⋮ Least squares estimators for discretely observed stochastic processes driven by small Lévy noises ⋮ Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions ⋮ Least squares estimators for stochastic differential equations with Markovian switching ⋮ Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises ⋮ Estimation of intrinsic growth factors in a class of stochastic population model ⋮ Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises ⋮ Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable 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 ⋮ Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails ⋮ A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations ⋮ Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter ⋮ Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises ⋮ Trajectory fitting estimation for a class of SDEs with small Lévy noises ⋮ Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise ⋮ Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An asymptotic expansion scheme for optimal investment problems
• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Approximate martingale estimating functions for stochastic differential equations with small noises
• An asymptotic expansion approach to pricing financial contingent claims
• On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
• The consistency of a nonlinear least squares estimator from diffusion processes
• Some time change representations of stable integrals, via predictable transformations of local martingales
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Statistical inference for ergodic diffusion processes.
• Small-diffusion asymptotics for discretely sampled stochastic differential equations
• Asymptotic expansion for small diffusions applied to option pricing
• Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process
• Information criteria for small diffusions via the theory of Malliavin-Watanabe
• Conditional expansions and their applications.
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• Asymptotic theory for non-linear least squares estimator for diffusion processes
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Maximnm contrast estimation for diffusion processes from discrete observations

This page was built for publication: Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises