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Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes

par Hallin, Marc ;Koell, Christophe;Werker, Bas
Référence Journal of Statistical Planning and Inference, 91, 2, page (323-340)
Publication Publié, 2000

Article révisé par les pairs

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Résumé :

In this paper we discuss statistical inference about the continuous time parameters of a semiparametric Ornstein-Uhlenbeck process observed in discrete time. The model is semiparametric in the sense that we do not necessarily assume that the driving process is a Brownian motion. The main results are stated for a more general time-series model: a quantile autoregressive model. For this semiparametric model we will construct locally asymptotically efficient estimators. Finally, we investigate the implications for the semiparametric Ornstein-Uhlenbeck model.