Estimation of marginal parameters of SUP-OU processes with long range dependence

  • Abstract
  • Keywords
  • References
  • PDF
  • Abstract

    Superpositions of Ornstein Uhlenbeck processes provide convenient ways to build stationary processes with given marginal distributions and long range dependence. After reviewing some of the basic features, we present several examples of processes with non Gaussian marginal distributions. Estimation of the parameters of the marginal distribution is undertaken by means of a characteristic function technique. We provide the relevant asymptotic theory as well as results of simulations and real data applications.

  • Keywords

    Characteristic Function Estimation; Long Range Dependence; Marginal Distribution; Ornstein Uhlenbeck Process; Superposition.

  • References

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Article ID: 6722
DOI: 10.14419/ijasp.v4i2.6722

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