Parameter estimation for a discrete time model driven by fractional Poisson process

DOI10.1080/03610926.2021.1973504MaRDI QIDQ6107524zbMATH OpenOpenAlexFDO

Authors Héctor Araya, Natalia Bahamonde, Tania Roa, Soledad Torres

Publication date 3 July 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2021.1973504

zbMATH Keywords

fractional Poisson processlong memorymaximum likelihood estimatorweighted least square estimator

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

Cites work

• Analysis of variations for self-similar processes. A stochastic calculus approach
• Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
• Donsker type theorem for fractional Poisson process
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
• Fractional Brownian motion, random walks and binary market models
• Fractional Lévy processes as a result of compact interval integral transformation
• Fractional Poisson process
• Fractional Poisson process. II
• scientific article; zbMATH DE number 1546925 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
• Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
• Maximum-likelihood estimators and random walks in long memory models
• Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
• Nonparametric inference for fractional diffusion
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Parameter estimation in fractional diffusion models
• Properties of integrals with respect to fractional Poisson processes with compact kernels
• Statistical aspects of the fractional stochastic calculus
• Statistical inference for fractional diffusion processes
• Statistical inference for Vasicek-type model driven by Hermite processes
• The fourth moment theorem on the Poisson space

Cited in

(3)

• Estimation of parameters in the fractional compound Poisson process
• Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation
• Parameter estimation for fractional Poisson processes

This page was built for publication: Parameter estimation for a discrete time model driven by fractional Poisson process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6107524)