Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package (Q2259080)

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

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scholarly article

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

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Alexandre Brouste

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Stefano Maria Iacus

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Computational Statistics

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publication date

27 February 2015

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full work available at URL

https://arxiv.org/abs/1112.3777

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process

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Drift parameter estimation in fractional diffusions driven by perturbed random walks

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Estimation in models driven by fractional Brownian motion

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Asymptotic properties of MLE for partially observed fractional diffusion system

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Fractional {O}rnstein-{U}hlenbeck processes

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

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Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

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Ten Lectures on Wavelets

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Approximate discrete-time schemes for statistics of diffusion processes

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Maximnm contrast estimation for diffusion processes from discrete observations

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LAN property for ergodic diffusions with discrete observations

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Parameter estimation for fractional Ornstein-Uhlenbeck processes

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Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion

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Quadratic variations and estimation of the local Hölder index of a Gaussian process

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On fractional Ornstein-Uhlenbeck processes

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Estimation of an Ergodic Diffusion from Discrete Observations

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Statistical analysis of the fractional Ornstein--Uhlenbeck type process

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Minimum Contrast Estimation for Fractional Diffusions

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Fractional Brownian Motions, Fractional Noises and Applications

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Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion

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A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise

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Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements

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Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation

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Estimation for diffusion processes from discrete observation

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Identifiers

zbMATH Open document ID

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10.1007/s00180-012-0365-6

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Mathematics Subject Classification ID

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zbMATH DE Number

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Mathematics(1 entry)

mardi Publication:2259080

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