Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean

DOI10.1016/J.JKSS.2017.06.002zbMath1377.62085arXiv1609.08199OpenAlexW2525036989MaRDI QIDQ1674053

Khalifa Es-Sebaiy, Salwa Bajja, Lauri Viitasaari

Publication date: 1 November 2017

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.08199

zbMATH Keywords

Malliavin calculusleast squares estimatorfractional Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

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

Related Items (17)

The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean ⋮ Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean ⋮ Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case ⋮ Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind ⋮ Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point ⋮ Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean ⋮ Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case ⋮ Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model ⋮ Statistical inference for nonergodic weighted fractional Vasicek models ⋮ Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter ⋮ Nonparametric estimation in fractional SDE

Uses Software

• YUIMA

Cites Work

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• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
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• Gaussian approximations of multiple integrals
• On fractional Ornstein-Uhlenbeck processes
• Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations
• Normal Approximations with Malliavin Calculus
• Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise
• The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
• The Malliavin Calculus and Related Topics
• Stochastic calculus with respect to Gaussian processes

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