The Least Squares Estimation for the α-Stable Ornstein-Uhlenbeck Process with Constant Drift
Author
Abstract
Suggested Citation
DOI: 10.1007/s11009-018-9654-z
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Shibin Zhang & Xinsheng Zhang, 2013. "A least squares estimator for discretely observed Ornstein–Uhlenbeck processes driven by symmetric α-stable motions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(1), pages 89-103, February.
- Li, Zenghu & Ma, Chunhua, 2015. "Asymptotic properties of estimators in a stable Cox–Ingersoll–Ross model," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3196-3233.
- Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Xuekang Zhang & Huisheng Shu & Haoran Yi, 2023. "Parameter Estimation for Ornstein–Uhlenbeck Driven by Ornstein–Uhlenbeck Processes with Small Lévy Noises," Journal of Theoretical Probability, Springer, vol. 36(1), pages 78-98, March.
- Yiying Cheng & Yaozhong Hu & Hongwei Long, 2020. "Generalized moment estimators for $$\alpha $$α-stable Ornstein–Uhlenbeck motions from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 53-81, April.
- Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
- Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2018. "The Alpha-Heston Stochastic Volatility Model," Papers 1812.01914, arXiv.org.
- Shu, Huisheng & Jiang, Ziwei & Zhang, Xuekang, 2023. "Parameter estimation for integrated Ornstein–Uhlenbeck processes with small Lévy noises," Statistics & Probability Letters, Elsevier, vol. 199(C).
- 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.
- Fontana, Claudio & Gnoatto, Alessandro & Szulda, Guillaume, 2023. "CBI-time-changed Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 323-349.
- Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2021. "The Alpha‐Heston stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 943-978, July.
- Ren, Panpan & Wu, Jiang-Lun, 2021. "Least squares estimation for path-distribution dependent stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 410(C).
- Mátyás Barczy & Kristóf Körmendi & Gyula Pap, 2016. "Statistical inference for critical continuous state and continuous time branching processes with immigration," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(7), pages 789-816, October.
- Zhang, Xuekang & Yi, Haoran & Shu, Huisheng, 2019. "Nonparametric estimation of the trend for stochastic differential equations driven by small α-stable noises," Statistics & Probability Letters, Elsevier, vol. 151(C), pages 8-16.
- Guangjun Shen & Qian Yu, 2019. "Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations," Statistical Papers, Springer, vol. 60(6), pages 2253-2271, December.
- Jakobsen, Nina Munkholt & Sørensen, Michael, 2019. "Estimating functions for jump–diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3282-3318.
- Jiao, Ying & Ma, Chunhua & Scotti, Simone & Sgarra, Carlo, 2019. "A branching process approach to power markets," Energy Economics, Elsevier, vol. 79(C), pages 144-156.
- Szarek, Dawid & Bielak, Łukasz & Wyłomańska, Agnieszka, 2020. "Long-term prediction of the metals’ prices using non-Gaussian time-inhomogeneous stochastic process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
- Hui He & Zenghu Li & Wei Xu, 2018. "Continuous-State Branching Processes in Lévy Random Environments," Journal of Theoretical Probability, Springer, vol. 31(4), pages 1952-1974, December.
- Shukai Chen & Rongjuan Fang & Xiangqi Zheng, 2023. "Wasserstein-Type Distances of Two-Type Continuous-State Branching Processes in Lévy Random Environments," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1572-1590, September.
- Martin Friesen & Peng Jin & Jonas Kremer & Barbara Rüdiger, 2023. "Regularity of transition densities and ergodicity for affine jump‐diffusions," Mathematische Nachrichten, Wiley Blackwell, vol. 296(3), pages 1117-1134, March.
- Fabian Mies & Ansgar Steland, 2019. "Nonparametric Gaussian inference for stable processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 525-555, October.
- Yusuke Kaino & Masayuki Uchida, 2018. "Hybrid estimators for small diffusion processes based on reduced data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(7), pages 745-773, October.
More about this item
Keywords
Least squares estimation; Ornstein-Uhlenbeck process; α-stable motion; Consistency; Asymptotic distribution;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metcap:v:21:y:2019:i:4:d:10.1007_s11009-018-9654-z. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.