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Drift estimation for a periodic mean reversion process

Author

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  • Herold Dehling
  • Brice Franke
  • Thomas Kott

Abstract

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Suggested Citation

  • Herold Dehling & Brice Franke & Thomas Kott, 2010. "Drift estimation for a periodic mean reversion process," Statistical Inference for Stochastic Processes, Springer, vol. 13(3), pages 175-192, October.
    • Handle: RePEc:spr:sistpr:v:13:y:2010:i:3:p:175-192
    DOI: 10.1007/s11203-010-9045-8
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    Citations

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    Cited by:

    1. Höpfner Reinhard & Kutoyants Yury A., 2009. "On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion," Statistics & Risk Modeling, De Gruyter, vol. 27(4), pages 309-326, December.
    2. Sévérien Nkurunziza, 2023. "Estimation and Testing in Multivariate Generalized Ornstein-Uhlenbeck Processes with Change-Points," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 351-400, February.
    3. 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.
    4. Herold Dehling & Brice Franke & Thomas Kott & Reg Kulperger, 2014. "Change point testing for the drift parameters of a periodic mean reversion process," Statistical Inference for Stochastic Processes, Springer, vol. 17(1), pages 1-18, April.
    5. Victor, Konev & Serguei, Pergamenchtchikov, 2015. "Robust model selection for a semimartingale continuous time regression from discrete data," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 294-326.
    6. Yunhong Lyu & Sévérien Nkurunziza, 2023. "Inference in generalized exponential O–U processes," Statistical Inference for Stochastic Processes, Springer, vol. 26(3), pages 581-618, October.
    7. Zhang, Xuekang & Huang, Chengzhe & Deng, Shounian, 2024. "Nonparametric estimation for periodic stochastic differential equations driven by G-Brownian motion," Statistics & Probability Letters, Elsevier, vol. 214(C).
    8. Dominique Dehay, 2015. "Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes," Statistical Inference for Stochastic Processes, Springer, vol. 18(1), pages 69-98, April.
    9. Pramesti Getut, 2023. "Parameter least-squares estimation for time-inhomogeneous Ornstein–Uhlenbeck process," Monte Carlo Methods and Applications, De Gruyter, vol. 29(1), pages 1-32, March.
    10. Rachid Belfadli & Khalifa Es-Sebaiy & Fatima-Ezzahra Farah, 2022. "Statistical analysis of the non-ergodic fractional Ornstein–Uhlenbeck process with periodic mean," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(7), pages 885-911, October.
    11. Simon Holbach, 2018. "Local asymptotic normality for shape and periodicity in the drift of a time inhomogeneous diffusion," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 527-538, October.
    12. Sévérien Nkurunziza & Pei Patrick Zhang, 2018. "Estimation and testing in generalized mean-reverting processes with change-point," Statistical Inference for Stochastic Processes, Springer, vol. 21(1), pages 191-215, April.
    13. 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.
    14. Sévérien Nkurunziza & Lei Shen, 2020. "Inference in a multivariate generalized mean-reverting process with a change-point," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 199-226, April.
    15. Fuqi Chen & Rogemar Mamon & Sévérien Nkurunziza, 2018. "Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(4), pages 807-853, August.

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