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
On the optimal designs for the prediction of complex Ornstein-Uhlenbeck processes
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1645855
Abstract: Abstract Physics, chemistry, biology or finance are just some examples out of the many fields where complex Ornstein-Uhlenbeck (OU) processes have various applications in statistical modeling. They play role e.g. in the description of the… read more here.
Keywords: complex ornstein; uhlenbeck processes; prediction complex; ornstein uhlenbeck ... See more keywords
Regularized fractional Ornstein-Uhlenbeck processes and their relevance to the modeling of fluid turbulence.
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DOI: 10.1103/physreve.96.033111
Abstract: Motivated by the modeling of the temporal structure of the velocity field in a highly turbulent flow, we propose and study a linear stochastic differential equation that involves the ingredients of an Ornstein-Uhlenbeck process, supplemented… read more here.
Keywords: uhlenbeck processes; relevance modeling; ornstein uhlenbeck; fractional ornstein ... See more keywords
Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes
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DOI: 10.1214/20-ejp417
Abstract: In this paper, we study the cut-off phenomenon of $d$-dimensional Ornstein-Uhlenbeck processes which are driven by Levy processes under the total variation distance. To be more precise, we prove the abrupt convergence under the total… read more here.
Keywords: driven processes; uhlenbeck processes; phenomenon ornstein; cut phenomenon ... See more keywords