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  • 标题:Model verification for Lévy-driven Ornstein-Uhlenbeck processes
  • 本地全文:下载
  • 作者:Ibrahim Abdelrazeq ; B. Gail Ivanoff ; Rafał Kulik
  • 期刊名称:Electronic Journal of Statistics
  • 印刷版ISSN:1935-7524
  • 出版年度:2014
  • 卷号:8
  • 期号:1
  • 页码:1029-1062
  • DOI:10.1214/14-EJS919
  • 语种:English
  • 出版社:Institute of Mathematical Statistics
  • 摘要:Lévy-Driven Ornstein-Uhlenbeck (or CAR(1)) processes were introduced by Barndorff-Nielsen and Shephard [1] as a model for stochastic volatility. Pham [17] developed a general formula to recover the unobserved driving process from the continuously observed CAR(1) process. When the CAR(1) process is observed at discrete times $0$, $h$, $2h$, $...$ $[T/h]h$ the driving process must be approximated. Approximated increments of the driving process are used to test the assumption that the CAR(1) process is Lévy-driven. Asymptotic behavior of the test statistic is investigated. Performance of the test is illustrated through simulation.
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