Minimum distance estimation for fractional Ornstein-Uhlenbeck type process

DOI10.1186/1687-1847-2014-137zbMath1417.34135OpenAlexW2128634286WikidataQ59323695 ScholiaQ59323695MaRDI QIDQ1720241

Na Song, Zai-Ming Liu

Publication date: 8 February 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/1687-1847-2014-137

zbMATH Keywords

asymptotic distributionconsistencyminimum distance estimationlong-range dependence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Ordinary differential equations and systems with randomness (34F05)

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