How to test that a given process is an Ornstein–Uhlenbeck process
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DOI: 10.1007/s11203-020-09233-1
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- Youri Davydov, 2001. "Remarks on Estimation Problem for Stationary Processes in Continuous Time," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 1-15, January.
- M. Kleptsyna & Yu. Kutoyants, 2014. "On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes," Statistical Inference for Stochastic Processes, Springer, vol. 17(3), pages 295-319, October.
- Ilia Negri & Yoichi Nishiyama, 2009. "Goodness of fit test for ergodic diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(4), pages 919-928, December.
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Keywords
Unitary operators; Goodness of fit tests; Distribution free approach;All these keywords.
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