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Parameter estimation for the drift of a time inhomogeneous jump diffusion process

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  • Brice Franke
  • Thomas Kott

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  • Brice Franke & Thomas Kott, 2013. "Parameter estimation for the drift of a time inhomogeneous jump diffusion process," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(2), pages 145-168, May.
    • Handle: RePEc:bla:stanee:v:67:y:2013:i:2:p:145-168
    DOI: 10.1111/(ISSN)1467-9574
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    Cited by:

    1. Reinhard Höpfner, 2021. "Polynomials under Ornstein–Uhlenbeck noise and an application to inference in stochastic Hodgkin–Huxley systems," Statistical Inference for Stochastic Processes, Springer, vol. 24(1), pages 35-59, April.
    2. Qian Yu, 2021. "Least squares estimator of fractional Ornstein–Uhlenbeck processes with periodic mean for general Hurst parameter," Statistical Papers, Springer, vol. 62(2), pages 795-815, April.
    3. Herold Dehling & Brice Franke & Jeannette H. C. Woerner, 2017. "Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean," Statistical Inference for Stochastic Processes, Springer, vol. 20(1), pages 1-14, April.
    4. Radomyra Shevchenko & Ciprian A. Tudor, 2020. "Parameter estimation for the Rosenblatt Ornstein–Uhlenbeck process with periodic mean," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 227-247, April.

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