Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
From MaRDI portal
Publication:3368564
DOI10.1080/17442500500409460zbMath1082.60014OpenAlexW2047673419MaRDI QIDQ3368564
Emanuele Taufer, Nikolai N. Leonenko
Publication date: 31 January 2006
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500500409460
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)
Related Items (11)
Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models ⋮ The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes ⋮ Asymptotic behavior of weakly dependent aggregated processes ⋮ Intermittency of superpositions of Ornstein-Uhlenbeck type processes ⋮ Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding ⋮ Anomalous is ubiquitous ⋮ Fast simulation of self-similar and correlated processes ⋮ Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes ⋮ Fractional motions ⋮ Limit Theorems for Aggregated Linear Processes ⋮ Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
- Long memory relationships and the aggregation of dynamic models
- On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
- Time series: theory and methods.
- Algebraic properties of beta and gamma distributions, and applications
- Processes of normal inverse Gaussian type
- Limit theorems for functionals of moving averages
- Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- Modeling volatility persistence of speculative returns: a new approach
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
- Long memory in continuous-time stochastic volatility models
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Superposition of Ornstein--Uhlenbeck Type Processes
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
- High level sojourns for strongly dependent Gaussian processes
- LONG-RANGE DEPENDENCE, NON-LINEARITY AND TIME IRREVERSIBILITY
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Convergence of integrated processes of arbitrary Hermite rank
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Some stationary processes in discrete and continuous time
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- The normal inverse gaussian lévy process: simulation and approximation
- Lévy processes, polynomials and martingales
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Fitting the variance-gamma model to financial data
- A Time‐Domain Semi‐parametric Estimate for Strongly Dependent Continuous‐Time Stationary Processes
- The Invariance Principle for Stationary Processes
This page was built for publication: Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
