Asymptotically efficient estimation of ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations (Q6155088): Difference between revisions

Latest revision as of 18:58, 30 December 2024

scientific article; zbMATH DE number 7806017

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English	Asymptotically efficient estimation of ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations	scientific article; zbMATH DE number 7806017

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instance of

scholarly article

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title

Asymptotically efficient estimation of ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations (English)

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Statistical Inference for Stochastic Processes

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publication date

16 February 2024

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full work available at URL

https://arxiv.org/abs/2204.03271

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zbMATH Keywords

fractional Ornstein-Uhlenbeck process

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estimation of drift parameters

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continuous observations

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local asymptotic normality property

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MaRDI profile type

MaRDI publication profile

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cites work

Pricing under rough volatility

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Local asymptotic normality property for fractional Gaussian noise under high-frequency observations

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Asymptotic properties of MLE for partially observed fractional diffusion system

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Efficient estimation of stable Lévy process with symmetric jumps

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Fractional {O}rnstein-{U}hlenbeck processes

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An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter

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Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations

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Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics

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Volatility is rough

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Q4766399

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Q3920437

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Statistical analysis of the fractional Ornstein--Uhlenbeck type process

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Statistical inference for ergodic diffusion processes.

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Normal Approximations with Malliavin Calculus

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The Malliavin Calculus and Related Topics

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Regularization of differential equations by fractional noise.

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Statistical aspects of the fractional stochastic calculus

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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

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Identifiers

arXiv ID

2204.03271

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Mathematics Subject Classification ID

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10.1007/S11203-023-09300-3

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Sitelinks

Mathematics(1 entry)

mardi Publication:6155088

@@ Property / DOI @@
-.1007/s11203-023-09300-3
@@ Property / DOI: 10.1007/s11203-023-09300-3 / rank @@
-Normal rank
@@ Property / OpenAlex ID @@
+W4388849352
@@ Property / OpenAlex ID: W4388849352 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of MLE for partially observed fractional diffusion system
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stable Lévy process with symmetric jumps
+Normal rank
@@ Property / cites work @@
+Fractional {O}rnstein-{U}hlenbeck processes
@@ Property / cites work: Fractional {O}rnstein-{U}hlenbeck processes / rank @@
+Normal rank
@@ Property / cites work @@
+An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
+Normal rank
@@ Property / cites work @@
+Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
+Normal rank
@@ Property / cites work @@
+Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
+Normal rank
@@ Property / cites work @@
+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
+Normal rank
@@ Property / cites work @@
+Q4766399
@@ Property / cites work: Q4766399 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3920437
@@ Property / cites work: Q3920437 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical analysis of the fractional Ornstein--Uhlenbeck type process
+Normal rank
@@ Property / cites work @@
+Statistical inference for ergodic diffusion processes.
+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 @@
+Regularization of differential equations by fractional noise.
+Normal rank
@@ Property / cites work @@
+Statistical aspects of the fractional stochastic calculus
+Normal rank
@@ Property / cites work @@
+Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
+Normal rank
@@ Property / DOI @@
+.1007/S11203-023-09300-3
@@ Property / DOI: 10.1007/S11203-023-09300-3 / rank @@
+Normal rank