On parameter estimation of fractional Ornstein-Uhlenbeck process

DOI10.1515/ROSE-2022-2079MaRDI QIDQ2090566zbMATH OpenOpenAlexWikidataFDO

Authors F. Farah

Publication date 25 October 2022

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2022-2079

zbMATH Keywords

asymptotic normalityfractional Ornstein-Uhlenbeck processstrong consistency

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12)

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Cites work

• Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Optimal rates for parameter estimation of stationary Gaussian processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical aspects of the fractional stochastic calculus
• The pathwise convergence of approximation schemes for stochastic differential equations

Cited in

(29)

• Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process
• Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process
• Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
• Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
• Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations
• Parameter identification for the Hermite Ornstein-Uhlenbeck process
• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Parameter estimation for fractional diffusion process with discrete observations
• On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
• Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
• Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise
• scientific article; zbMATH DE number 5139015 (Why is no real title available?)
• Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet
• On drift estimation for non-ergodic fractional Ornstein-Uhlenbeck process with discrete observations
• Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
• Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
• Volatility estimation in fractional Ornstein-Uhlenbeck models
• scientific article; zbMATH DE number 6776536 (Why is no real title available?)
• Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
• Minimum L₁-norm estimation for fractional Ornstein-Uhlenbeck type processes
• Estimation for Translation of a Process Driven by Fractional Brownian Motion
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• On integration by parts formula and characterization of fractional Ornstein-Uhlenbeck process
• Parameter estimation for fractional Ornstein-Uhlenbeck processes

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