Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 1717 | |
dc.contributor.author | Mai, Hilmar | |
dc.date.accessioned | 2016-03-24T17:37:52Z | |
dc.date.available | 2019-06-28T08:25:22Z | |
dc.date.issued | 2012 | |
dc.description.abstract | We consider the problem of efficient estimation of the drift parameter of an Ornstein-Uhlenbeck type process driven by a Lévy process when high-frequency observations are given. The estimator is constructed from the time-continuous likelihood function that leads to an explicit maximum likelihood estimator and requires knowledge of the continuous martingale part. We use a thresholding technique to approximate the continuous part of the process. Under suitable conditions we prove asymptotic normality and efficiency in the Hájek-Le Cam sense for the resulting drift estimator. To obtain these results we prove an estimate for the Markov generator of a pure jump Lévy process. Finally, we investigate the finite sample behavior of the method and compare our approach to least squares estimation. | eng |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 0946-8633 | |
dc.identifier.uri | https://doi.org/10.34657/2298 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/3442 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | eng |
dc.subject.other | Discrete time observations | eng |
dc.subject.other | efficient drift estimation | eng |
dc.subject.other | Lévy process | eng |
dc.subject.other | maximum likelihood | eng |
dc.subject.other | Ornstein-Uhlenbeck process | eng |
dc.title | Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes | eng |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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