Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process (Q2194055)
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scientific article; zbMATH DE number 7239372
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| English | Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 7239372 |
Statements
Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process (English)
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25 August 2020
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asymptotic efficiency
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fractional Ornstein-Uhlenbeck process
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least squares estimator
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maximum likelihood estimator
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characteristic function
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numerical integration
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0.8719420433044434
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0.8354596495628357
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0.8344592452049255
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0.8126569986343384
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0.812423586845398
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