On the consistency of the MLE for Ornstein–Uhlenbeck and other selfdecomposable processes-Reference-Cited by-同舟云学术

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On the consistency of the MLE for Ornstein–Uhlenbeck and other selfdecomposable processes

Published:2015-04-01 Issue:1 Volume:19 Page:29-50
ISSN:1387-0874
Container-title:Statistical Inference for Stochastic Processes
language:en
Short-container-title:Stat Inference Stoch Process

Author:

Grabchak Michael

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11203-015-9118-9.pdf

Reference45 articles.

1. Abramowitz M, Stegun IA (1972) Handbook of mathematical functions, 9th edn. Dover Publications, New York

2. Aoyama T, Maejima M, Rosiński J (2008) A subclass of type $$G$$ G selfdecomposable distributions on $${\mathbb{R}}^d$$ R d . J Theor Probab 21:14–34

3. Barndorff-Nielsen OE, Shephard N (2001) Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. J R Stat Soc Ser B 62(2):167–241

4. Barndorff-Nielsen OE, Shephard N (2002a) Econometric analysis of realized volatility and its use in estimating stochastic volatility models. J R Stat Soc Ser B 64(2):253–280

5. Barndorff-Nielsen OE, Shephard N (2002b) Normal modified stable processes. Theory Probab Math Stat 65:1–20

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3. Epilogue;SpringerBriefs in Mathematics;2015-11-20

4. Parametric Classes;SpringerBriefs in Mathematics;2015-11-20

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