Parameter identification for the Hermite Ornstein-Uhlenbeck process

DOI10.1007/S11203-020-09219-ZMaRDI QIDQ2194047zbMATH OpenOpenAlexFDO

Authors Obayda Assaad, Ciprian A. Tudor

Publication date 25 August 2020

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

Full work available at URL https://doi.org/10.1007/s11203-020-09219-z

zbMATH Keywords

asymptotic normalityparameter estimationstrong consistencyOrnstein-Uhlenbeck processfractional Brownian motionHermite processHurst index estimationmultiple Wiener-Itô integrals

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• A Fourier analytic approach to pathwise stochastic integration
• A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
• Analysis of variations for self-similar processes. A stochastic calculus approach
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• Central limit theorems for non-linear functionals of Gaussian fields
• Dissipative stochastic evolution equations driven by general Gaussian and non-Gaussian noise
• Fractional {O}rnstein-{U}hlenbeck processes
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
• Limit behavior of the Rosenblatt Ornstein-Uhlenbeck process with respect to the Hurst index
• Limiting measure and stationarity of solutions to stochastic evolution equations with Volterra noise
• Long-Range Dependence and Self-Similarity
• Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
• Statistical inference for Vasicek-type model driven by Hermite processes
• Stochastic evolution equations with Volterra noise
• Stochastic processes and long range dependence
• The Malliavin Calculus and Related Topics
• The linear stochastic heat equation with Hermite noise
• Variations and estimators for self-similarity parameters via Malliavin calculus
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem
• \(L^p\)-valued stochastic convolution integral driven by Volterra noise

Cited in

(5)

• Asymptotic normality for a modified quadratic variation of the Hermite process
• Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise
• Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
• Gaussian and hermite Ornstein–Uhlenbeck processes
• scientific article; zbMATH DE number 7709546 (Why is no real title available?)

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