Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes

12 March 2014

Papers citing "Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes"

15 / 15 papers shown

Title
Adaptive nonparametric drift estimation for multivariate jump diffusions under sup-norm risk Linqi Zhou 29 0 0 29 Sep 2023
On Lasso and Slope drift estimators for Lévy-driven Ornstein--Uhlenbeck processes Niklas Dexheimer Claudia Strauch 63 6 0 16 May 2022
A Generalization of the Ornstein-Uhlenbeck Process: Theoretical Results, Simulations and Parameter Estimation J. Stein Silvia R.C. Lopes A. V. Medino 29 1 0 13 Aug 2021
Local Asymptotic Mixed Normality via Transition Density Approximation and an Application to Ergodic Jump-Diffusion Processes Teppei Ogihara Yuma Uehara 29 0 0 01 May 2021
Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination Kevin W. Lu 25 4 0 30 Nov 2020
High-frequency Estimation of the Lévy-driven Graph Ornstein-Uhlenbeck process Valentin Courgeau Almut E. D. Veraart 31 3 0 25 Aug 2020
Likelihood theory for the Graph Ornstein-Uhlenbeck process Valentin Courgeau Almut E. D. Veraart 42 4 0 26 May 2020
Drift Estimation for a Lévy-Driven Ornstein-Uhlenbeck Process with Heavy Tails A. Gushchin I. Pavlyukevich Marian Ritsch 23 4 0 25 Nov 2019
Estimating functions for jump-diffusions N. Jakobsen Michael Sørensen 38 5 0 01 Sep 2017
Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient S. Gugushvili Frank van der Meulen Moritz Schauer Peter Spreij 27 6 0 22 Jun 2017
Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models Yuma Uehara 41 11 0 03 Feb 2017
Jump filtering and efficient drift estimation for Lévy-driven SDE's A. Gloter D. Loukianova H. Mai 38 23 0 16 Mar 2016
Non parametric estimation of the diffusion coefficents of a diffusion with jumps Emeline Schmisser 51 1 0 25 Nov 2013
Identifying the successive Blumenthal-Getoor indices of a discretely observed process Yacine Ait-Sahalia J. Jacod 111 15 0 24 Sep 2012
Non-parametric adaptive estimation of the drift for a jump diffusion process Emeline Schmisser 112 33 0 12 Jun 2012