Statistical inference for generalized Ornstein-Uhlenbeck processes

DOI10.1214/15-EJS1063zbMath1337.62230arXiv1503.03381MaRDI QIDQ887250

N. E. Zubov

Publication date: 28 October 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.03381

zbMATH Keywords

Mellin transformLévy processexponential functionalgeneralized Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60)

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Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Semiparametric estimation in the normal variance-mean mixture model ⋮ Ergodic properties of generalized Ornstein-Uhlenbeck processes ⋮ Statistical inference for scale mixture models via Mellin transform approach

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