Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation (Q1744220): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(6 intermediate revisions by 5 users not shown)
Property / author
 
Property / author: Marco E. Dozzi / rank
Normal rank
 
Property / author
 
Property / author: Yuriy Vasil'ovich Kozachenko / rank
Normal rank
 
Property / author
 
Property / author: Yuliya S. Mishura / rank
Normal rank
 
Property / author
 
Property / author: Marco E. Dozzi / rank
 
Normal rank
Property / author
 
Property / author: Yuriy Vasil'ovich Kozachenko / rank
 
Normal rank
Property / author
 
Property / author: Yuliya S. Mishura / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2964156867 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1602.05848 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical aspects of the fractional stochastic calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind / rank
 
Normal rank
Property / cites work
 
Property / cites work: Elliptic Gaussian random processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4947463 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5338445 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4096185 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parameter estimation for fractional Ornstein-Uhlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical analysis of the fractional Ornstein--Uhlenbeck type process / rank
 
Normal rank
Property / cites work
 
Property / cites work: On drift parameter estimation in models with fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lectures on Gaussian Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4864754 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation of multifractional Brownian motion by absolutely continuous processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3141895 / rank
 
Normal rank
Property / cites work
 
Property / cites work: How rich is the class of multifractional Brownian motions? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Upper and Lower Bounds for Stochastic Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integration with respect to fractal functions and stochastic calculus. I / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4263380 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 12:45, 15 July 2024

scientific article
Language Label Description Also known as
English
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
scientific article

    Statements

    Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation (English)
    0 references
    0 references
    0 references
    0 references
    16 April 2018
    0 references
    The paper accomplishes two goals: 1) to get the asymptotic bounds with \(P=1\) for the rate of growth of the trajectories of multifunctional Brownian motion (mBm) and of some other functionals of mBm, including increments and fractional derivatives; 2) to construct consistent estimators of the unknown drift parameter in the linear and in the Ornstein-Uhlenbeck model involving mBm applying these bounds in 1). The authors also produce asymptotic bounds with \(P=1\) for the rate of growth of the trajectories of the general Gaussian process and some functionals of it in terms of the covariance function of its increments, which generalizes previous results from \textit{Y. Kozachenko} et al. [Statistics 49, No. 1, 35--62 (2015; Zbl 1396.62190)].
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    Gaussian process
    0 references
    multifunctional Brownian motion
    0 references
    parameter estimation
    0 references
    consistency
    0 references
    strong consistency
    0 references
    stochastic differentia equiation
    0 references
    0 references
    0 references