Parameter Estimation in Student Ornstein–Uhlenbeck Process

Jaya P. N. Bishwal
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Jaya P. N. Bishwal: University of North Carolina at Charlotte, Department of Mathematics and Statistics

Chapter Chapter 10 in Parameter Estimation in Stochastic Volatility Models, 2022, pp 373-394 from Springer

Abstract: Abstract We study estimation of the drift coefficient in the Ornstein–Uhlenbeck process whose marginal distribution is Student t-distribution. We also study estimation in nonergodic (Cauchy type) OU process. Leonenko et al. (2020) studied approximation of heavy-tailed fractional Pearson diffusion. Leonenko and Suvak (2010a) studied statistical inference for a student diffusion process. Leonenko and Suvak (2010b) studied statistical inference for a reciprocal gamma process.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-03861-7_10

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DOI: 10.1007/978-3-031-03861-7_10

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