Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
By Peter J. Brockwell, Richard A. Davis, Yu Yang. Journal of Applied Probability, 2007
76 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/956e0cb568f20322cf3eabf8fec1764eb2414424
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Peter J. Brockwell
- Claudia Klüppelberg
- Hongwei Long
- Richard A. Davis
- Yu Yang
- V. Todorov
- Hiroki Masuda
- Andrea Schmidt
In Statistics and Probability
- Peter J. Brockwell
- Hongwei Long
- Claudia Klüppelberg
- Richard A. Davis
- Hiroki Masuda
- Yu Yang
- Dimitris Nicolas Politis
- Efstathios Paparoditis
Citations in the corpus
- Estimation for Non-Negative Lévy-Driven CARMA Processes (2011, background): “Brockwell, Davis, and Yang (2007) derived efficient estimates of the parameters of a nonnegative Lévydriven CAR(1) process and showed how the realization of the underlying Lévy process can be estimated from closely-spaced observations of the process itself.”
- Electricity spot price modelling with a view towards extreme spike risk (2010, background): “For every stationary OU process this estimator is weakly consistent as N → ∞ with ∆ fixed, and it has a limiting distribution under certain assumptions on the distribution of ∫ 1 0 edL(s); see [4] and references therein.”
- Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes (2010, background): “[6] derived the limit distribution of the Davis-MacCormick estimator, which cannot be of direct use when jumps of Z are bilateral, and also discussed possibility of consistent estimation of λ as soon as h → 0 even when nh is fixed.”
- Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises (2009, methodology): “The parametric estimation for Lévy-driven Ornstein–Uhlenbeck processes was also studied by Brockwell et al. (2007), Valdivieso et al. (2008), and Spiliopoulos (2008).”
- Recent results in the theory and applications of CARMA processes (2014, methodology): “For closely-spaced data Brockwell et al. (2007b) developed an estimation technique based on the exact likelihood of the continuous time process conditional on the initial state-vector, approximating the stochastic integrals which appear in the maximum likelihood parameter estimators by…”