Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling

DOI10.2478/S13540-011-0024-6MaRDI QIDQ2853356zbMATH OpenOpenAlexFDO

Authors Jaya P. N. Bishwal

Publication date 21 October 2013

Published in Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

Full work available at URL https://doi.org/10.2478/s13540-011-0024-6

zbMATH Keywords

analytic continuationFourier methodfractional Itō stochastic differential equationfractional Ornstein-Uhlenbeck processlong-memory minimum contrast estimatorrate of weak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

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Cited in

(23)

• Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• The LAN property for McKean-Vlasov models in a mean-field regime
• Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion
• Maximum likelihood estimation in the non-ergodic fractional Vasicek model
• Almost sure and moment stability properties of fractional order Black-Scholes model
• Recent developments on stochastic heat equation with additive fractional-colored noise
• Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
• Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
• The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion
• Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
• Covariance measure and stochastic heat equation with fractional noise
• Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
• Minimum Contrast Estimation for Fractional Diffusions
• Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
• On the Lamperti transform of the fractional Brownian sheet
• A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
• Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
• Global attracting set of stochastic differential equations with unbounded delay driven by fractional Ornstein-Uhlenbeck process
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)

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