Minimum Contrast Estimation for Fractional Diffusions

DOI10.1111/J.1467-9469.2004.00410.XMaRDI QIDQ4677117zbMATH OpenOpenAlexFDO

Authors Carenne Ludeña

Publication date 20 May 2005

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9469.2004.00410.x

zbMATH Keywords

discrete time samplingfractional Brownian motionfractional diffusionlocal asymptotic mixed normalityminimum contrast estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)

Recommendations

• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• On a class of minimum contrast estimators for fractional stochastic processes and fields
• Minimum contrast estimation for discretely observed diffusion processes with small dispersion parameter
• Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
• A minimal contrast estimator for the linear fractional stable motion
• Parameter estimation by contrast minimization for noisy observations of a diffusion process
• Nonparametric inference for fractional diffusion
• Parameter estimation in fractional diffusion models
• On minimum-contrast estimation for hilbert space-valued stochastic differential equations
• Maximnm contrast estimation for diffusion processes from discrete observations

Cites work

• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Fractional {O}rnstein-{U}hlenbeck processes
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Stochastic analysis of fractional brownian motions

Cited in

(8)

• On a class of minimum contrast estimators for fractional stochastic processes and fields
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• A minimal contrast estimator for the linear fractional stable motion
• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Estimation of the Hurst parameter from discrete noisy data
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
• On minimum-contrast estimation for hilbert space-valued stochastic differential equations
• A contrast estimator for completely or partially observed hypoelliptic diffusion

This page was built for publication: Minimum Contrast Estimation for Fractional Diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4677117)