Open AccessEstimation of marginal parameters of SUP-OU processes with long range dependence
Author(s) -
Emanuele Taufer
Publication year - 2016
Publication title -
international journal of advanced statistics and probability
Language(s) - English
Resource type - Journals
ISSN - 2307-9045
DOI - 10.14419/ijasp.v4i2.6722
Subject(s) - marginal distribution , range (aeronautics) , statistical physics , gaussian , econometrics , mathematics , distribution (mathematics) , computer science , statistics , random variable , physics , mathematical analysis , engineering , quantum mechanics , aerospace engineering
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.