Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes

Marc Hallin, Christophe Koell and Bas Werker

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: In this paper we discuss statistical inference about the continuous time parameters of a semiparametric Ornstein-Uhlenbeck process observed in discrete time. The model is semiparametric in the sense that we do not necessarily assume that the driving process is a Brownian motion. The main results are stated for a more general time-series model: a quantile autoregressive model. For this semiparametric model we will construct locally asymptotically efficient estimators. Finally, we investigate the implications for the semiparametric Ornstein-Uhlenbeck model.

Date: 2000
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Citations: View citations in EconPapers (4)

Published in: Journal of Statistical Planning and Inference (2000) v.91 n° 2,p.323-340

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Persistent link: https://EconPapers.repec.org/RePEc:ulb:ulbeco:2013/2097

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