Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

DOI10.1016/J.BULSCI.2013.04.008MaRDI QIDQ390509zbMATH OpenOpenAlexFDO

Authors B. Maslowski, Ciprian A. Tudor

Publication date 8 January 2014

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.bulsci.2013.04.008

zbMATH Keywords

asymptotic normalityfractional Brownian motionMalliavin calculusmultiple Wiener-Itô integralsstochastic evolution equationsstrong consistency

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Point estimation (62F10) Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean
• Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter

Cites work

• Adaptive Boundary and Point Control of Linear Stochastic Distributed Parameter Systems
• Adaptive control of linear stochastic evolution systems
• ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Central limit theorems for sequences of multiple stochastic integrals
• Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process
• Estimation for Some Stochastic Partial Differential Equations Based on Discrete Observations II
• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• scientific article; zbMATH DE number 53996 (Why is no real title available?)
• scientific article; zbMATH DE number 2149887 (Why is no real title available?)
• scientific article; zbMATH DE number 2118800 (Why is no real title available?)
• Linear stochastic equations in a Hilbert space with a fractional Brownian motion
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS
• On minimum-contrast estimation for hilbert space-valued stochastic differential equations
• Parameter estimates for linear partial differential equations with fractional boundary noise
• Parameter estimation for controlled semilinear stochastic systems: Identifiability and consistency
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Parameter estimation for SPDEs with multiplicative fractional noise
• Parameter estimation in diagonalizable bilinear stochastic parabolic equations
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical aspects of the fractional stochastic calculus
• Statistical inference for fractional diffusion processes
• Stochastic Equations in Infinite Dimensions
• Tail behaviour of multiple random integrals and \(U\)-statistics
• The Malliavin Calculus and Related Topics
• Transformation formulas for fractional Brownian motion

Cited in

(14)

• Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process
• Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
• Parameter estimation for stochastic wave equation based on observation window
• Pathwise least-squares estimator for linear SPDEs with additive fractional noise
• Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind
• Nonparametric estimation for linear SPDEs from local measurements
• Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet
• Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
• Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations
• A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
• Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
• Cramér-type moderate deviations of drift estimation in the stochastic heat equation
• Parameter estimation for stochastic partial differential equations of second order

This page was built for publication: Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q390509)