搜索结果: 1-14 共查到“统计学 Ornstein-Uhlenbeck”相关记录14条 . 查询时间(0.05 秒)
On the eigenfunctions of the complex Ornstein-Uhlenbeck operators
eigenfunctions complex Ornstein-Uhlenbeck operators
2016/1/20
Starting from the 1-dimensional complex-valued Ornstein-Uhlenbeck process, we present two natural ways to imply the associated eigenfunctions of the 2-dimensional normal Ornstein-Uhlenbeck operators i...
On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
Reflected fractional Ornstein-Uhlenbeck processes fractional Brownian motion frac-tional calculus parameter estimation maximum likelihood estimator sequential maximum likeli-hood estimator
2013/4/28
We consider a reflected Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter $H\in(0,1)$. Our goal is to estimate an unknown drift parameter $\alpha\in (-\infty,\inft...
Ornstein-Uhlenbeck type processes with heavy distribution tails
Ornstein-Uhlenbeck process heavy tails regular variation rank cor-relation Gauss copula log returns modelling
2011/3/25
We consider a transformed Ornstein-Uhlenbeck process model that can be a good candidate for modelling real-life processes characterized by a combination of time-reverting behaviour with heavy distribu...
Fractional Lévy-driven Ornstein--Uhlenbeck processes and stochastic differential equations
fractional integral equation fractional Levy process fractional Levy–Ornstein–Uhlenbeck process long-range dependence p-variation Riemann–Stieltjes integration stationary solution to a fractional SDE stochastic diff erential equation
2011/3/18
Using Riemann-Stieltjes methods for integrators of bounded $p$-variation we define a pathwise integral driven by a fractional L\'{e}vy process (FLP). To explicitly solve general fractional stochastic ...
Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
continuous-time GARCH process extreme value theory generalizedOrnstein–Uhlenbeck process integrated generalized Ornstein–Uhlenbeck process
2010/3/10
We consider a positive stationary generalized Ornstein–Uhlenbeck process
Vt = e−tZ t0es− ds + V0 for t 0,and the increments of the integrated generalized Ornstein–Uhlenbeck process...
Equivalence of distrubutions of some Ornstein-Uhlenbeck processes taking values in Hilbert space
Equivalence of distrubutions some Ornstein-Uhlenbeck processes Hilbert space
2009/9/23
Sufficient conditions for equivalence of distributions in
LZ(O,T , H) of two Ornstein-Uhlenbeck processes taking values in
a Hilbert space H are given. The Girsanov theorem and some facts in
the th...
The Ornstein-Uhlenbeck process associated with the Levy Laplacian and its Dirichlet form
The Ornstein-Uhlenbeck process the Levy Laplacian Dirichlet form
2009/9/22
We prove the existence of an Omstein-Uhlenbeck type
process associated with the Evy Laplacian. Like the classical case, the
law of the Levy Brownian motion at time 1 is an invariant probability
of ...
RoSINSKI EASURES FOR TEMPERED STABLE AND RELATED ORNSTEIN-UHLENBECK PROCESSES
Tempered stable distributions Ornstein-Uhlenbeck and Ltvy processes Truncated Lbvy Flights
2009/9/18
Several concrete parametric classes of tempered stable
distributions are discussed in terms of explicit calculations of their
Rosihki measures. The hope is that they will provide a family of
concre...
Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
Ornstein-Uhlenbeck processes stable process drift coefficient matrix estimation consistency asymptotic efficiency
2009/9/16
In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, $F$, of Ornstein-Uhlenbeck processes that are not necessarily stable. We consider all the c...
q-invariant functions for some generalizations of the Ornstein-Uhlenbeck semigroup
Invariant functions generalized Ornstein-Uhlenbeck processes first exit times special functions
2009/6/12
We show that the multiplication operator associated to a fractional power of a Gamma random variable, with parameter q > 0, maps the convex cone of the 1-invariant functions for a self-similar semigro...
Surface Stretching for Ornstein Uhlenbeck Velocity Fields
Diffusion Processes Lyapunov Exponent Stochastic Flows
2009/5/8
The present note deals with large time properties of the Lagrangian trajectories of a turbulent flow in R^2 and R^3. We assume that the flow is driven by an incompressible time-dependent random veloci...
Two-sided exit problem for a Spectrally Negative α-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions
Ornstein-Uhlenbeck Process deduce generalized hypergeometric functions
2009/3/27
The Laplace transform of the first exit time from a finite interval by a regular spectrally negative α-stable Ornstein-Uhlenbeck process is provided in terms of the Wright's generalized hypergeometric...
Two-sided exit problem for a Spectrally Negative α-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions
Laplace transform Spectrally Negative hypergeometric functions
2009/3/23
The Laplace transform of the first exit time from a finite interval by a regular spectrally negative α-stable Ornstein-Uhlenbeck process is provided in terms of the Wright's generalized hypergeometric...
Parameter estimation for fractional Ornstein-Uhlenbeck processes
Parameter estimation fractional Ornstein-Uhlenbeck processes
2010/3/17
We study a least squares estimator bT for the Ornstein-Uhlenbeck
process, dXt = Xtdt+dBHt , driven by fractional Brownian motion BH
with Hurst parameter H 12 . We prove the strong consistence o...
