Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes

DOI10.1016/J.JKSS.2015.12.001zbMath1342.62024arXiv1507.00802OpenAlexW2963787549MaRDI QIDQ530368

Mohamed El Machkouri, Khalifa Es-Sebaiy, Youssef Ouknine

Publication date: 29 July 2016

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.00802

zbMATH Keywords

parameter estimationnon-ergodic Gaussian Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Diffusion processes (60J60) Self-similar stochastic processes (60G18)

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Cites Work

• Selected aspects of fractional Brownian motion.
• Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
• Statistical aspects of the fractional stochastic calculus
• An inequality of the Hölder type, connected with Stieltjes integration
• Bifractional Brownian motion: existence and border cases
• Almost sure central limit theorems for random ratios and applications to LSE for fractional Ornstein-Uhlenbeck processes
• An extension of bifractional Brownian motion
• Parameter Estimation for α-Fractional Bridges
• Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations
• Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise

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