Hypothesis testing in a fractional Ornstein-Uhlenbeck model
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Publication:1929673
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Cites work
- scientific article; zbMATH DE number 3576395 (Why is no real title available?)
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- On the law of the iterated logarithm for Gaussian processes
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- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Sharp Berry-Esseen bound for the maximum likelihood estimator in the Ornstein-Uhlenbeck process
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical inference for ergodic diffusion processes.
- Stein's method on Wiener chaos
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- Stochastic Calculus for Fractional Brownian Motion and Applications
- Testing for a unit root in time series regression
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- The Malliavin Calculus and Related Topics
- Towards a unified asymptotic theory for autoregression
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- Undamped harmonic oscillator driven by additive Gaussian white noise: a statistical analysis
Cited in
(5)- Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case
- On large deviations in testing Ornstein-Uhlenbeck-type models
- Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
- Hypothesis testing for the fractional Ornstein-Uhlenbeck model
- Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
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