Parameter identification for the Hermite Ornstein-Uhlenbeck process

DOI10.1007/S11203-020-09219-ZzbMATH Open1448.60118OpenAlexW3033402842MaRDI QIDQ2194047FDOQ2194047

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

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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)

Cites Work

• The Malliavin Calculus and Related Topics
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• Fractional {O}rnstein-{U}hlenbeck processes
• A Fourier analytic approach to pathwise stochastic integration
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• Variations and estimators for self-similarity parameters via Malliavin calculus
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• Dissipative stochastic evolution equations driven by general Gaussian and non-Gaussian noise
• Stochastic processes and long range dependence
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
• Limiting measure and stationarity of solutions to stochastic evolution equations with Volterra noise
• Statistical inference for Vasicek-type model driven by Hermite processes
• Limit behavior of the Rosenblatt Ornstein-Uhlenbeck process with respect to the Hurst index
• Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes
• \(L^p\)-valued stochastic convolution integral driven by Volterra noise
• Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs
• The linear stochastic heat equation with Hermite 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
• Title not available (Why is that?)

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