Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process

DOI10.1007/S11203-020-09215-3zbMATH Open1448.60117OpenAlexW3028286073MaRDI QIDQ2194055FDOQ2194055

Authors: Katsuto Tanaka 

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/s11203-020-09215-3

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• Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
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zbMATH Keywords

characteristic functionasymptotic efficiencynumerical integrationmaximum likelihood estimatorleast squares estimatorfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Computing the distribution of quadratic forms in normal variables
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• The Invariance Principle for Stationary Processes
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Fractional {O}rnstein-{U}hlenbeck processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• Asymptotic properties of MLE for partially observed fractional diffusion system
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process

Cited In (5)

• Statistical inference for models driven by 𝑛-th order fractional Brownian motion
• Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
• Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
• Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
• Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process

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