Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process (Q5384783): Difference between revisions

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scientific article; zbMATH DE number 7073213

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English	Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process	scientific article; zbMATH DE number 7073213

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instance of

scholarly article

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title

Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process (English)

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zbMATH Open document ID

1419.62212

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DOI

10.1142/S0219493719500187

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Stochastics and Dynamics

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publication date

25 June 2019

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Mathematics Subject Classification ID

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deviation inequalities

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fractional Ornstein-Uhlenbeck process

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hypothesis testing

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least squares estimator

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moderate deviation principle

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multiple Wiener-Itô integrals

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confidence intervals

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MaRDI profile type

MaRDI publication profile

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cites work

Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind

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Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind

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Sharp Large Deviations for the Ornstein--Uhlenbeck Process

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Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process

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Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process

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Large deviations for the Ornstein-Uhlenbeck process with shift

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Large deviations for the Ornstein-Uhlenbeck process without tears

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Large deviations in testing fractional Ornstein-Uhlenbeck models

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Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises

0 references

Asymptotic properties of MLE for partially observed fractional diffusion system

0 references

Design for estimation of the drift parameter in fractional diffusion systems

0 references

Berry-esseen bound for the kaplan-meier estimator

0 references

Statistical inference for SPDEs: an overview

0 references

ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION

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Q4391441

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Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise

0 references

Large deviations in estimation of an Ornstein-Uhlenbeck model

0 references

Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift

0 references

Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators

0 references

Moderate deviations and nonparametric inference for monotone functions

0 references

Delta method in large deviations and moderate deviations for estimators

0 references

On large deviations in testing Ornstein-Uhlenbeck-type models

0 references

Examples of moderate deviation principle for diffusion processes

0 references

Parameter estimation for fractional Ornstein-Uhlenbeck processes

0 references

Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter

0 references

Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift

0 references

Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift

0 references

Statistical analysis of the fractional Ornstein--Uhlenbeck type process

0 references

On drift parameter estimation in models with fractional Brownian motion

0 references

Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)

0 references

On drift parameter estimation for reflected fractional Ornstein–Uhlenbeck processes

0 references

Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series

0 references

A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests

0 references

Tail behaviour of multiple random integrals and \(U\)-statistics

0 references

On a multivariate version of Bernstein's inequality

0 references

Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

0 references

Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields

0 references

Normal Approximations with Malliavin Calculus

0 references

The Malliavin Calculus and Related Topics

0 references

Central limit theorems for multiple stochastic integrals and Malliavin calculus

0 references

Central limit theorems for sequences of multiple stochastic integrals

0 references

Cumulants on Wiener chaos: moderate deviations and the fourth moment theorem

0 references

Statistical aspects of the fractional stochastic calculus

0 references

Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes

0 references

full work available at URL

https://doi.org/10.1142/s0219493719500187

0 references

OpenAlex ID

W2883347447

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5384783

@@ Property / cites work @@
+Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind
+Normal rank
@@ Property / cites work @@
+Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
+Normal rank
@@ Property / cites work @@
+Sharp Large Deviations for the Ornstein--Uhlenbeck Process
+Normal rank
@@ Property / cites work @@
+Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process
+Normal rank
@@ Property / cites work @@
+Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Large deviations for the Ornstein-Uhlenbeck process with shift
+Normal rank
@@ Property / cites work @@
+Large deviations for the Ornstein-Uhlenbeck process without tears
+Normal rank
@@ Property / cites work @@
+Large deviations in testing fractional Ornstein-Uhlenbeck models
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of MLE for partially observed fractional diffusion system
+Normal rank
@@ Property / cites work @@
+Design for estimation of the drift parameter in fractional diffusion systems
+Normal rank
@@ Property / cites work @@
+Berry-esseen bound for the kaplan-meier estimator
@@ Property / cites work: Berry-esseen bound for the kaplan-meier estimator / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical inference for SPDEs: an overview
@@ Property / cites work: Statistical inference for SPDEs: an overview / rank @@
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION
+Normal rank
@@ Property / cites work @@
+Q4391441
@@ Property / cites work: Q4391441 / rank @@
+Normal rank
@@ Property / cites work @@
+Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise
+Normal rank
@@ Property / cites work @@
+Large deviations in estimation of an Ornstein-Uhlenbeck model
+Normal rank
@@ Property / cites work @@
+Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
+Normal rank
@@ Property / cites work @@
+Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
+Normal rank
@@ Property / cites work @@
+Moderate deviations and nonparametric inference for monotone functions
+Normal rank
@@ Property / cites work @@
+Delta method in large deviations and moderate deviations for estimators
+Normal rank
@@ Property / cites work @@
+On large deviations in testing Ornstein-Uhlenbeck-type models
+Normal rank
@@ Property / cites work @@
+Examples of moderate deviation principle for diffusion processes
+Normal rank
@@ Property / cites work @@
+Parameter estimation for fractional Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
+Normal rank
@@ Property / cites work @@
+Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift
+Normal rank
@@ Property / cites work @@
+Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
+Normal rank
@@ Property / cites work @@
+Statistical analysis of the fractional Ornstein--Uhlenbeck type process
+Normal rank
@@ Property / cites work @@
+On drift parameter estimation in models with fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
+Normal rank
@@ Property / cites work @@
+On drift parameter estimation for reflected fractional Ornstein–Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
+Normal rank
@@ Property / cites work @@
+A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
+Normal rank
@@ Property / cites work @@
+Tail behaviour of multiple random integrals and \(U\)-statistics
+Normal rank
@@ Property / cites work @@
+On a multivariate version of Bernstein's inequality
+Normal rank
@@ Property / cites work @@
+Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
+Normal rank
@@ Property / cites work @@
+Normal Approximations with Malliavin Calculus
@@ Property / cites work: Normal Approximations with Malliavin Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Central limit theorems for multiple stochastic integrals and Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Central limit theorems for sequences of multiple stochastic integrals
+Normal rank
@@ Property / cites work @@
+Cumulants on Wiener chaos: moderate deviations and the fourth moment theorem
+Normal rank
@@ Property / cites work @@
+Statistical aspects of the fractional stochastic calculus
+Normal rank
@@ Property / cites work @@
+Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219493719500187
+Normal rank
@@ Property / OpenAlex ID @@
+W2883347447
@@ Property / OpenAlex ID: W2883347447 / rank @@
+Normal rank