A pseudo-likelihood estimator of the Ornstein-Uhlenbeck parameters from suprema observations - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Statistical Inference for Stochastic Processes Année : 2024

A pseudo-likelihood estimator of the Ornstein-Uhlenbeck parameters from suprema observations

Résumé

In this paper we propose an estimator for the Ornstein-Uhlenbeck parameters based on observations of its supremum. We derive an analytic expression for the density of the supremum. Making use of the pseudo-likelihood method based on the supremum density, our estimator is constructed as the maximal argument of this function. Using weak-dependency results, we prove some statistical properties on the estimator such as consistency and asymptotic normality. Finally, we apply these statistical tools to simulated and real data.
Fichier principal
Vignette du fichier
Article_VF.pdf (538.27 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-03847613 , version 1 (10-11-2022)
hal-03847613 , version 2 (30-11-2022)
hal-03847613 , version 3 (31-07-2023)
hal-03847613 , version 4 (10-01-2024)
hal-03847613 , version 5 (26-02-2024)

Identifiants

Citer

Christophette Blanchet-Scalliet, Diana Dorobantu, Benoît Nieto. A pseudo-likelihood estimator of the Ornstein-Uhlenbeck parameters from suprema observations. Statistical Inference for Stochastic Processes, 2024, ⟨10.1007/s11203-024-09307-4⟩. ⟨hal-03847613v5⟩
136 Consultations
123 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More