Drift Estimation for a Lévy-Driven Ornstein-Uhlenbeck Process with Heavy Tails

25 November 2019

Papers citing "Drift Estimation for a Lévy-Driven Ornstein-Uhlenbeck Process with Heavy Tails"

6 / 6 papers shown

Title
Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models Yuma Uehara 41 11 0 03 Feb 2017
Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process Hiroki Masuda 56 33 0 24 Aug 2016
Jump filtering and efficient drift estimation for Lévy-driven SDE's A. Gloter D. Loukianova H. Mai 38 23 0 16 Mar 2016
Parametric estimation of Lévy processes Hiroki Masuda 50 9 0 01 Sep 2014
Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes H. Mai 57 44 0 12 Mar 2014
Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency Hiroki Masuda 47 55 0 13 Aug 2013