Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
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Publication:1934446
DOI10.1007/s11425-012-4386-yzbMath1274.62567MaRDI QIDQ1934446
Wei-Guo Zhang, Xili Zhang, Wei-Lin Xiao
Publication date: 28 January 2013
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-012-4386-y
asymptotic normality; fractional Brownian motions; Ornstein-Uhlenbeck process; strong consistency; minimum contrast estimator
60G22: Fractional processes, including fractional Brownian motion
62M09: Non-Markovian processes: estimation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H07: Stochastic calculus of variations and the Malliavin calculus
Related Items
Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process, On a class of minimum contrast estimators for Gegenbauer random fields, Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
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