Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes

DOI10.1007/s10473-019-0406-0zbMath1499.62286OpenAlexW2950568147MaRDI QIDQ2153101

Khalifa Es-Sebaiy, Fares Alazemi, Mishari Al-Foraih

Publication date: 1 July 2022

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10473-019-0406-0

zbMATH Keywords

discrete observationsdrift parameter estimationnon-ergodic Gaussian Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)

Related Items (6)

Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency ⋮ Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters ⋮ Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean ⋮ Stochastic mortality dynamics driven by mixed fractional Brownian motion ⋮ Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case ⋮ Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model

Cites Work

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• Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind
• Berry-Ess\'een bounds for parameter estimation of general Gaussian processes

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