Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations

DOI10.1007/S11203-020-09235-ZMaRDI QIDQ2046296zbMATH OpenOpenAlexFDO

Authors El Mehdi Haress, Yaozhong Hu

Publication date 17 August 2021

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.05096

zbMATH Keywords

ergodicityparameter estimationMalliavin calculuscentral limit theoremfractional Brownian motionstationary processesNewton methodfractional Ornstein-Uhlenbeck

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: Let the Ornstein-Uhlenbeck process $(X_t{)}_{tge0}$ driven by a fractional Brownian motion $B^H$, described by $d{X}_t=-heta{X}_{t}dt+sigmad{B}_t^H$ be observed at discrete time instants $t_k=kh$, $k=0,1,2,cdots,2n+2$. We propose ergodic type statistical estimators $hathet{a}_n$, $hat{H}_n$ and $hatsigm{a}_n$ to estimate all the parameters $heta$, $H$ and $sigma$ in the above Ornstein-Uhlenbeck model simultaneously. We prove the strong consistence and the rate of convergence of the estimators. The step size $h$ can be arbitrarily fixed and will not be forced to go zero, which is usually a reality. The tools to use are the generalized moment approach (via ergodic theorem) and the Malliavin calculus.

Recommendations

• Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
• On parameter estimation of fractional Ornstein-Uhlenbeck process
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• On drift estimation for non-ergodic fractional Ornstein-Uhlenbeck process with discrete observations

Cites work

• A general drift estimation procedure for stochastic differential equations with additive fractional noise
• Analysis on Gaussian spaces
• Ergodic properties of anomalous diffusion processes
• Estimates for domains of local invertibility of diffeomorphisms
• Fractional {O}rnstein-{U}hlenbeck processes
• Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
• Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Parameter estimation in fractional diffusion models
• Statistical aspects of the fractional stochastic calculus
• Stochastic Calculus for Fractional Brownian Motion and Applications

Cited in

(16)

• Ergodic estimators of double exponential Ornstein-Uhlenbeck processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
• Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
• On parameter estimation of fractional Ornstein-Uhlenbeck process
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion
• Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise
• Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
• Local linear estimator for fractional diffusions
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
• Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
• Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process

Describes a project that uses

Uses Software

• YUIMA

This page was built for publication: Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2046296)