Title: Maximum Likelihood Estimation in Processes of Ornstein-Uhlenbeck type
Authors: Valdivieso, Luis
Schoutens, Wim
Tuerlinckx, Francis
Issue Date: 2006
Publisher: K.U.Leuven U.C.S. Technical Report
Series Title: vol:2006 issue:03
Abstract: In this article we propose a maximum likelihood methodology to estimate the parameters of a one-dimensional stationary process of Ornstein-Uhlenbeck type that is constructed via a self-decomposable distribution D. Our approach is based on the inversion of the characteristic function and the use of the classical or fractional discrete fast Fourier transform. The results are illustrated throughout an extensive simulation study. This includes the cases where D belongs to the gamma, tempered stable and normal inverse Gaussian family of distributions.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Statistics Section
Quantitative Psychology and Individual Differences

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