Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
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DOI: 10.1016/j.spa.2018.11.007
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Cited by:
- Shoichi Eguchi & Yuma Uehara, 2021. "Schwartz‐type model selection for ergodic stochastic differential equation models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 950-968, September.
- Alexander Gushchin & Ilya Pavlyukevich & Marian Ritsch, 2020. "Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 553-570, October.
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Keywords
Lévy driven stochastic differential equation; Misspecified model; Gaussian quasi-likelihood estimation; Extended Poisson equation; High-frequency sampling; Stepwise estimation;All these keywords.
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