Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion
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Publication:1710139
DOI10.1186/s13662-017-1420-yzbMath1444.60029OpenAlexW2769402032WikidataQ59527309 ScholiaQ59527309MaRDI QIDQ1710139
Panhong Cheng, Qin Chen, Guang Jun Shen
Publication date: 15 January 2019
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-017-1420-y
parameter estimationOrnstein-Uhlenbeck processdiscrete observationsweighted fractional Brownian motion
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Self-similar stochastic processes (60G18)
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