Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind

DOI10.1214/17-BJPS353zbMATH Open1398.62217WikidataQ129727844 ScholiaQ129727844MaRDI QIDQ1668046FDOQ1668046

K. Es-Sebaiy, Brahim El Onsy, Djibril Ndiaye

Publication date: 31 August 2018

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1528444871

Recommendations

• 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
• Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes
• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
• Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the second kind

zbMATH Keywords

fractional Brownian motiondrift parameter estimationnon-ergodic fractional Ornstein-Uhlenbeck process of the second kind

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• Asymptotic optimal inference for non-ergodic models
• Notes on drift estimation for certain non-recurrent diffusion processes from sampled data
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• On fractional Ornstein-Uhlenbeck processes
• Sharp large deviations for the fractional Ornstein-Uhlenbeck process
• Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
• The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
• Parameter estimation for some non-recurrent solutions of SDE
• Parametric inference for discretely observed non-ergodic diffusions
• 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
• Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
• Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise
• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes

Cited In (11)

• Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
• Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
• Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
• Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
• Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes

This page was built for publication: Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1668046)