Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean
DOI10.1007/s11203-019-09200-5zbMath1434.60167arXiv1903.02376OpenAlexW2918838215WikidataQ127636994 ScholiaQ127636994MaRDI QIDQ1984653
Radomyra Shevchenko, Ciprian A. Tudor
Publication date: 7 April 2020
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.02376
parameter estimationasymptotic normalityMalliavin calculusOrnstein-Uhlenbeck processRosenblatt processleast squares estimatorstrong consistencymultiple Wiener-Itô integralsperiodic mean function
Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items (3)
Cites Work
- Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Multiple stochastic integrals with dependent integrators
- Statistical inference for ergodic diffusion processes.
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
- Fractional {O}rnstein-{U}hlenbeck processes
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical inference for Vasicek-type model driven by Hermite processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Statistical aspects of the fractional stochastic calculus
- Analysis of Variations for Self-similar Processes
- Normal Approximations with Malliavin Calculus
- The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
- The Malliavin Calculus and Related Topics
- Statistical Inference for Fractional Diffusion Processes
- Analysis of the Rosenblatt process
- Limit behavior of the Rosenblatt Ornstein–Uhlenbeck process with respect to the Hurst index
- Long-Range Dependence and Self-Similarity
- Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem
This page was built for publication: Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean