Parameter estimation for the non-stationary Ornstein–Uhlenbeck process with linear drift
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DOI: 10.1007/s00362-014-0580-z
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References listed on IDEAS
- Bercu, Bernard & Coutin, Laure & Savy, Nicolas, 2012. "Sharp large deviations for the non-stationary Ornstein–Uhlenbeck process," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3393-3424.
- Shimizu, Yasutaka, 2009. "Notes on drift estimation for certain non-recurrent diffusion processes from sampled data," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2200-2207, October.
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Cited by:
- Yuping Song & Hangyan Li & Yetong Fang, 2021. "Efficient estimation for the volatility of stochastic interest rate models," Statistical Papers, Springer, vol. 62(4), pages 1939-1964, August.
- 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.
- 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.
- Nenghui Kuang & Bingquan Liu, 2018. "Least squares estimator for $$\alpha $$ α -sub-fractional bridges," Statistical Papers, Springer, vol. 59(3), pages 893-912, September.
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Keywords
Law of iterated logarithm; Maximum likelihood estimator; Non-stationary Ornstein–Uhlenbeck process; 62F12; 62N02; 60F15; 62M02;All these keywords.
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