Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations
Sign Up to like & getrecommendations! Published in 2019 at "Statistical Papers"
DOI: 10.1007/s00362-017-0918-4
Abstract: In this paper, we consider the problem of parameter estimation for Ornstein–Uhlenbeck processes with small fractional Lévy noises, based on discrete observations at n regularly spaced time points $$t_i=i/n,$$ti=i/n,$$i=1,\ldots ,n$$i=1,…,n on [0, 1]. Least squares method… read more here.
Keywords: least squares; discrete observations; uhlenbeck processes; ornstein uhlenbeck ... See more keywords
The least squares estimator of random variables under sublinear expectations
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DOI: 10.1016/j.jmaa.2017.02.020
Abstract: Abstract In this paper, we study the least squares estimator for sublinear expectations. Under some mild assumptions, we prove the existence and uniqueness of the least squares estimator. The relationship between the least squares estimator… read more here.
Keywords: squares estimator; random variables; estimator random; least squares ... See more keywords
Consistency of a nonparametric least squares estimator in integer-valued GARCH models
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DOI: 10.1080/10485252.2022.2043310
Abstract: We consider a nonparametric version of the integer-valued GARCH(1,1) model for time series of counts. The link function in the recursion for the variances is not specified by finite-dimensional parameters, but we impose nonparametric smoothness… read more here.
Keywords: least squares; integer valued; squares estimator; valued garch ... See more keywords