Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
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DOI: 10.1016/j.spa.2018.04.004
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- Alessandro Gregorio & Francesco Iafrate, 2021. "Regularized bridge-type estimation with multiple penalties," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(5), pages 921-951, October.
- Masahiro Kurisaki, 2023. "Parameter estimation for ergodic linear SDEs from partial and discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 279-330, July.
- 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.
- Li, Shuaiyu & Wu, Yunpei & Cheng, Yuzhong, 2024. "Parameter estimation and random number generation for student Lévy processes," Computational Statistics & Data Analysis, Elsevier, vol. 194(C).
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Keywords
Asymptotic mixed normality; High-frequency sampling; Locally stable Lévy process; Stable quasi-likelihood function; Stochastic differential equations;All these keywords.
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