How to test that a given process is an Ornstein–Uhlenbeck process
Author:
Funder
Marsden Fund
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11203-020-09233-1.pdf
Reference30 articles.
1. Abdelrazeq I, Ivanoff BG, Kulik R (2014) Model verification for Lévy-driven Ornstein–Uhlenbeck processes. Electron J Stat 8:1029–1062
2. Ait-Sahalia Y, Fan J, Peng H (2009) Nonparametric transition-based tests for jump diffusions. J Am Stat Assoc 104:1102–116
3. Amari S (1985) Differential geometric theory of statistics. In: Lecture notes in statistics, vol 28. Springer, Heidelberg
4. Barczy M, Pap G (2010) Asymptotic behaviour of maximum likelihood estimator for time inhomogeneous diffusion processes. J Stat Plan Inference 6:1576–1593
5. Basawa IV, Scott DJ (1983) Asymptotically optimal inference for non-ergodic models, Lecture notes in statistics, vol 17. Springer, Heidelberg
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