Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind
DOI10.1214/17-BJPS353zbMath1398.62217MaRDI QIDQ1668046
Khalifa 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
fractional Brownian motiondrift parameter estimationnon-ergodic fractional Ornstein-Uhlenbeck process of the second kind
Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)
Related Items (4)
Cites Work
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