[PDF] Top 20 Parameter estimation for Ornstein–Uhlenbeck processes driven by fractional Lévy process
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Parameter estimation for Ornstein–Uhlenbeck processes driven by fractional Lévy process
... drift parameter of Ornstein–Uhlenbeck process driven by fractional Brownian mo- tion and investigated the asymptotic properties following Kutoyants and Pilibossian [14, ...the ... See full document
14
Bayesian estimation of the fractional Ornstein- Uhlenbeck instantaneous rate of asset return process: Evidence from high-frequency stock price data
... Some attempts have been made to rectify this problem; Roberts and Stramer (2001) transform the stochastic differential equation to obtain constant diffusion coefficients so that the dependence problem is overcome. Beskos ... See full document
19
Asymptotic law of limit distribution for fractional Ornstein Uhlenbeck process
... type processes driven by fractional Brownian motions, a popular method is the maximum likelihood estimators ...drift parameter has also been extensively studied (see, ...drift parameter ... See full document
7
Maximum likelihood estimation for multiscale Ornstein Uhlenbeck processes
... OU process, computing the exact likelihood is straight ...OU process, the problem has been extended to the case where the differential equation is not exactly a ...OU processes driven by ... See full document
28
Long memory estimation of stochastic volatility for index prices
... the fractional Brownian motion (fBm) as a long-memory driving ...The fractional Ornstein-Uhlenbeck (fOU) process is one of the popular model that contain the properties of long memory ... See full document
42
Exponential Ergodicity and β Mixing Property for Generalized Ornstein Uhlenbeck Processes
... generalized Ornstein-Uhlenbeck process is derived from a bivariate Lévy process and is suggested as a continuous time version of a stochastic recurrence equation ...generalized ... See full document
5
Measures of dependence for Ornstein Uhlenbeck processes with tempered stable distribution
... tests based on the empirical distribution function, [27], reject the hypothesis that the data can be described by using Gaussian as well as the α−stable distribution. Therefore as an alternative we propose to use the ... See full document
15
Maximum likelihood estimators in linear regression models with Ornstein Uhlenbeck process
... various estimation methods to obtain estimators of the unknown parameters in ...autoregressive processes; Hu [], Wu [], and Fox and Taqqu [] established its asymptotic normal- ity with the usual p n ... See full document
31
Parameter estimation for nonergodic Ornstein Uhlenbeck process driven by the weighted fractional Brownian motion
... The fractional Brownian motion (fBm for short) has already been widely applied in hydrol- ogy, traffic volume prediction, estimation of Hurst exponent of seismic signal, finance, and various other areas due to ... See full document
16
Financial Modelling with Ornstein–Uhlenbeck Processes Driven by Lévy Process
... Empirical studies have also shown that the volatility is not constant as postulated by famous Black-Scholes model. In reality the logarithmic return distribution has fatter than the normal distribution implies. The ... See full document
6
Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes
... the Ornstein-Uhlenbeck process), may be an important first step in obtaining information about the solution to the more general equation, see ...infinite-dimensional processes, have each ... See full document
22
Minimum distance estimation for fractional Ornstein Uhlenbeck type process
... type processes driven by fractional Brownian motions, the most im- portant methods are either maximum likelihood estimation (MLE) or least square estima- tion ...of parameter ... See full document
8
Stability of Stochastic Logistic Model with Ornstein Uhlenbeck Process for Cell Growth of Microorganism in Fermentation Process
... Fermentation process converts sugar into alcohol with the help of yeast ...fermentation process proposed by Verhulst ...fermentation process because fermentation process contains random ... See full document
17
Scaling Of Student T-Distribution And Properties Of Lvy-Student Processes
... the Lévy measure and its numerical evaluation is cumbersome, especially for small values of | | ...modified Lévy measure is considered according to Raible [8] ... See full document
5
First Hitting Place Probabilities for a Discrete Version of the Ornstein Uhlenbeck Process
... diffusion process having infinitesimal mean βx and infinitesimal variance αx see 10, page ...the Ornstein- Uhlenbeck process, βx −cx with c > 0 and αx ≡ ... See full document
12
The Simulation and Approximation of the First Passage Time of the Ornstein--Uhlenbeck Process of Neuron
... When σ is 0.5, Figures 4.14 and 4.15 show that the mean and variance approximated using the Stein’s method are very close to the simulated results. This is true except when the threshold is 14 mvolt. This tells us the ... See full document
123
Online Full Text
... The Langevin equation describes the main characteristics of a general random motion in the random environments. This equation was produced by Langevin(1908) [25] and become one of the most fundamental stochastic ... See full document
7
A study of stochastic processes in Banach spaces
... The formulae (1.2) and (1.3) were originally derived by mathematicians developing the theory of linear lters on stationary stochastic processes. Of note are Blanc-Lapierre and Fortet's paper [3], which discusses ... See full document
103
Comparison of stochastic parameterizations in the framework of a coupled ocean–atmosphere model
... The usual way to test the effectiveness of a parameter- ization method is to consider a well-known climate low- resolution model on which other methods have already been tested. For instance, several methods cited ... See full document
27
Dynamic asset allocation for bank under stochastic interest rates
... an Ornstein Uhlenbeck process and no- tably the case of Vasicek model; (iii) and the optimal asset allocation strategy are derived with power utility ... See full document
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