Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise

zbMath1375.60098arXiv1701.07568MaRDI QIDQ5369219

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Publication date: 16 October 2017

Full work available at URL: https://arxiv.org/abs/1701.07568

zbMATH Keywords

asymptotic normalityfractional Brownian motionstrong consistencyfractional Ornstein-Uhlenbeck processfourth moment theoremscomplex Wiener-Itô multiple integral

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (11)

Complex Wiener-Itô chaos decomposition revisited ⋮ Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise ⋮ Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process ⋮ Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion ⋮ Parameter estimation for Vasicek model driven by a general Gaussian noise ⋮ Kernel representation formula: from complex to real Wiener-Itô integrals and vice versa ⋮ Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process ⋮ Moderate deviations for the mildly stationary autoregressive model with dependent errors ⋮ Unnamed Item ⋮ Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations

Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Analysis on Gaussian Spaces
• Normal Approximations with Malliavin Calculus
• On the fourth moment theorem for complex multiple Wiener–Itô integrals
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