Clustering of extreme events in time series generated by the fractional Ornstein–Uhlenbeck equation (Q5139776): Difference between revisions

Latest revision as of 03:59, 24 July 2024

scientific article; zbMATH DE number 7284294

Language	Label	Description	Also known as
English	Clustering of extreme events in time series generated by the fractional Ornstein–Uhlenbeck equation	scientific article; zbMATH DE number 7284294

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instance of

scholarly article

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title

Clustering of extreme events in time series generated by the fractional Ornstein–Uhlenbeck equation (English)

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Chaos: An Interdisciplinary Journal of Nonlinear Science

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publication date

10 December 2020

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zbMATH Keywords

clustering

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extreme events

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time series

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fractional Ornstein-Uhlenbeck equation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1063/5.0023301

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cites work

Q3259350

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The effect of long-term correlations on the return periods of rare events

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Fractional Brownian Motions, Fractional Noises and Applications

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The fractional Ornstein-Uhlenbeck process as a representation of homogeneous Eulerian velocity turbulence

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A two-stage realized volatility approach to estimation of diffusion processes with discrete data

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Pricing under rough volatility

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Volatility is rough

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Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications

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Statistical analysis of the fractional Ornstein--Uhlenbeck type process

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Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process

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Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process

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Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package

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

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

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

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Stochastic calculus for fractional Brownian motion and related processes.

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Stochastic Calculus for Fractional Brownian Motion and Applications

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Q5544740

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Analysis, Synthesis, and Estimation of Fractal-Rate Stochastic Point Processes

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Identifiers

zbMATH Open document ID

1456.62221

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DOI

10.1063/5.0023301

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5139776

@@ Property / cites work @@
+Q3259350
@@ Property / cites work: Q3259350 / rank @@
+Normal rank
@@ Property / cites work @@
+The effect of long-term correlations on the return periods of rare events
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+The fractional Ornstein-Uhlenbeck process as a representation of homogeneous Eulerian velocity turbulence
+Normal rank
@@ Property / cites work @@
+A two-stage realized volatility approach to estimation of diffusion processes with discrete data
+Normal rank
@@ Property / cites work @@
+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications
+Normal rank
@@ Property / cites work @@
+Statistical analysis of the fractional Ornstein--Uhlenbeck type process
+Normal rank
@@ Property / cites work @@
+Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
+Normal rank
@@ Property / cites work @@
+Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
+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 @@
+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 @@
+Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for fractional Brownian motion and related processes.
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion and Applications
+Normal rank
@@ Property / cites work @@
+Q5544740
@@ Property / cites work: Q5544740 / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis, Synthesis, and Estimation of Fractal-Rate Stochastic Point Processes
+Normal rank