Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters
type: Item
instance of: scholarly article
title: Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters
zbMATH Open document ID: 1339.60114
author: Ibrahim Abdelrazeq
published in: Statistics \& Probability Letters
publication date: 2015-08-19T00:00:00Z
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 62M02
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 6473537
zbMATH Keywords: Ornstein-Uhlenbeck processes
zbMATH Keywords: Lévy processes
zbMATH Keywords: sampled process
zbMATH Keywords: model verification
zbMATH Keywords: parameter estimation
zbMATH Keywords: test statistics
zbMATH Keywords: sample correlation
MaRDI profile type: Publication
full work available at URL: j.spl.2015.04.014
OpenAlex ID: W1983885137
cites work: Model verification for Lévy-driven Ornstein-Uhlenbeck processes
cites work: Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
cites work: Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
cites work: Limit Theory for High Frequency Sampled MCARMA Models
cites work: On the exponential rate of convergence of the least squares estimator in the nonlinear regression model with Gaussian errors
cites work: A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations
DOI: 10.1016/J.SPL.2015.04.014
description: scientific article; zbMATH DE number 6473537