Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
From MaRDI portal
Publication:1712059
DOI10.3390/a11120197zbMath1461.62149OpenAlexW2902820687WikidataQ128825772 ScholiaQ128825772MaRDI QIDQ1712059
Publication date: 21 January 2019
Published in: Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3390/a11120197
asymptotic distributionleast squares methodsub-fractional Brownian motionVasicek-type modelYoung's integration
Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic integrals (60H05)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
- Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
- Inner product spaces of integrands associated to subfractional Brownian motion
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Sur une intégrale pour les processus à \(\alpha\)-variation bornée. (On an integral for processes with bounded \(\alpha\)-variation)
- Statistical inference for ergodic diffusion processes.
- Sub-fractional Brownian motion and its relation to occupation times
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Occupation time fluctuations of weakly degenerate branching systems
- Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
- On the collision local time of sub-fractional Brownian motions
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Berry-Esseen bounds for the least squares estimator for discretely observed fractional Ornstein-Uhlenbeck processes
- The generalized Bouleau-Yor identity for a sub-fractional Brownian motion
- Parameter estimation in stochastic differential equations.
- Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
- Simulation and inference for stochastic differential equations. With R examples.
- On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
- Limit theorems for occupation time fluctuations of branching systems. I: long-range dependence
- Parameter Estimation for α-Fractional Bridges
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- The Malliavin Calculus and Related Topics
- Statistical Inference for Fractional Diffusion Processes
- Weak convergence to a class of multiple stochastic integrals
- A central limit theorem associated with sub-fractional Brownian motion and an application
- Estimators for the Drift of Subfractional Brownian Motion
- Some properties of the sub-fractional Brownian motion
- Stochastic calculus with respect to Gaussian processes
This page was built for publication: Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion