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Citation(s) in
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For:
Kohatsu-Higa A
, Nualart E, Tran NK.
LAN property for an ergodic diffusion with jumps.
STATISTICS-ABINGDON
2016. [DOI:
10.1080/02331888.2016.1239727
]
[
Citation(s) in
RCA
: 4
]
[
Impact Index Per Article: 0.5
]
[
Reference Citation Analysis
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[Indexed: 10/20/2022]
Number
Cited by Other Article(s)
1
Tran NK
, Ngo HL. LAMN property for jump diffusion processes with discrete observations on a fixed time interval.
J Stat Plan Inference
2022. [DOI:
10.1016/j.jspi.2022.11.003
]
[
Citation(s) in
RCA
: 0
]
[
Impact Index Per Article: 0
]
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[Indexed: 11/14/2022]
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2
Masuda H
, Uehara Y. Estimating diffusion with compound Poisson jumps based on self-normalized residuals.
J Stat Plan Inference
2021. [DOI:
10.1016/j.jspi.2021.02.008
]
[
Citation(s) in
RCA
: 0
]
[
Impact Index Per Article: 0
]
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[Indexed: 11/28/2022]
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3
Ben Alaya M
, Kebaier A, Tran NK. Local asymptotic properties for Cox‐Ingersoll‐Ross process with discrete observations.
Scand Stat Theory Appl
2020. [DOI:
10.1111/sjos.12494
]
[
Citation(s) in
RCA
: 3
]
[
Impact Index Per Article: 0.8
]
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[Indexed: 12/01/2022]
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Affiliation(s)
Mohamed Ben Alaya
Laboratoire De Mathématiques Raphaël Salem Université De Rouen Saint‐Etienne‐Du‐Rouvray France
Ahmed Kebaier
LAGA, Université Sorbonne Paris Nord Villetaneuse France
Ngoc Khue Tran
Department of Natural Science Education Pham Van Dong University Quang Ngai Vietnam
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4
Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails.
STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES
2020. [DOI:
10.1007/s11203-020-09210-8
]
[
Citation(s) in
RCA
: 2
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Impact Index Per Article: 0.5
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[Indexed: 10/24/2022]
Abstract
Abstract
We consider the problem of estimation of the drift parameter of an ergodic Ornstein–Uhlenbeck type process driven by a Lévy process with heavy tails. The process is observed continuously on a long time interval [0,
T
],
$$T\rightarrow \infty $$
T
→
∞
. We prove that the statistical model is locally asymptotic mixed normal and the maximum likelihood estimator is asymptotically efficient.
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5
Jakobsen NM
, Sørensen M. Estimating functions for jump–diffusions.
Stoch Process Their Appl
2019. [DOI:
10.1016/j.spa.2018.09.006
]
[
Citation(s) in
RCA
: 2
]
[
Impact Index Per Article: 0.4
]
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[Indexed: 11/24/2022]
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