Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
نویسندگان
چکیده
منابع مشابه
Estimation for Nonnegative Lévy-driven Ornstein–uhlenbeck Processes
Continuous-time autoregressivemoving average (CARMA) processeswith a nonnegative kernel and driven by a nondecreasing Lévy process constitute a very general class of stationary, nonnegative continuous-time processes. In financial econometrics a stationary Ornstein–Uhlenbeck (or CAR(1)) process, driven by a nondecreasing Lévy process, was introduced by Barndorff-Nielsen and Shephard (2001) as a ...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2007
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200003673