Goodness-of-fit tests for Lévy-driven Ornstein-Uhlenbeck processes
Author:
Affiliation:
1. Department of Mathematics, Rhodes College; Memphis TN U.S.A.
2. Department of Mathematics and Statistics, University of Ottawa; Ottawa Canada
Funder
Natural Sciences and Engineering Research Council of Canada
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/cjs.11352/fullpdf
Reference16 articles.
1. Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters;Abdelrazeq;Statistics and Probability Letters,2015
2. Model verification for Lévy-driven Ornstein-Uhlenbeck processes;Abdelrazeq;Electronic Journal of Statistics,2014
3. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics;Barndorff-Nielsen;Journal of the Royal Statistical Society: Series B (Statistical Methodology),2001
4. Some asymptotic theory for the bootstrap;Bickel;Annals of Statistics,1981
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